Study region: Arabian Peninsula, Middle East. Study focus: The Arabian Peninsula (AP) faces increasing droughts due to a warming climate, threatening water security, ecosystems, socio-economic stability, and livelihoods. This study analyzes drought characteristics across four AP zones using a multi-index approach integrating the Standardized Precipitation Index (SPI), Standardized Precipitation-Evapotranspiration Index (SPEI), and Evaporative Demand Drought Index (EDDI). Drought frequency, duration, and severity were assessed at 3-, 6-, and 12-month timescales using ERA5 reanalysis data (1975-2024). Long-term trends were quantified with the Modified Mann-Kendall test and Sen's slope. The Innovative Trend Analysis (ITA) distinguished trends in extreme dry and wet periods. A SHAP-based XGBoost model identified dominant meteorological drivers of drought severity. New hydrological insights for the region: Major droughts occurred in 1983-1984, 1999-2002, 2007-2009, 2014-2015, and 2021-2023, with the Southeast and Southwest zones most droughtprone. Across all timescales, SPEI and EDDI indicated greater intensity, earlier onset, and persistence than SPI, underscoring the role of rising temperature and evaporative demand. SHAP analysis revealed dewpoint temperature, precipitation, and maximum temperature as key drivers, while wind speed had minor influence. ITA revealed asymmetric shifts in drought distributions, confirming intensification of dry extremes. These findings emphasize the need for multi-index drought monitoring and region-specific adaptation strategies to strengthen climate resilience in arid regions.