Drought is a critical factor influencing the distribution of forest species in both present and future global terrestrial ecosystems. Therefore, to investigate the sensitivity of typical afforestation tree species on the Loess Plateau to drought and its influencing factors, we conducted field experiments to measure the sap flow, soil moisture content, fine root density, leaf water potential, and xylem hydraulic characteristics of three deciduous trees: apple (Malus domestica), black locust (Robinia pseudoacacia), and jujube (Ziziphus jujube). We found that the canopy conductance (Gc) of black locust and apple trees was highly sensitive to VPD variations. Their transpiration (T) was also sensitive to soil moisture variation, especially for black locust. In contrast, the Gc and T sensitivity of jujube trees was low. The differences in their drought sensitivities can primarily be attributed to variations in xylem hydraulic conductivity and embolism vulnerability. Our results demonstrate that both mature black locust and apple trees on the Loess Plateau have strong drought sensitivity, especially black locust. Therefore, alterations in precipitation patterns driven by climate change may significantly influence the community distribution of black locusts trees on the Loess Plateau.