In the context of global climate change, the cascading risk of compound natural hazards is becoming increasingly prominent. Taking Xilin Gol grassland as study area, we used the Mann–Kendall trend method, the maximum Pearson correlation coefficient method, and Partial least squares structural equations modeling to detect the characteristics of spatiotemporal pattern changes of the three types of droughts. The propagation characteristics and the cascade effects among the three types of droughts was also identified. The standardized precipitation evapotranspiration index, standardized evapotranspiration drought index, and soil moisture index were selected as indicators of meteorological drought, ecohydrological drought, and soil drought, respectively. The results show that the warm and dry trend in Xilin Gol grassland was obvious in the past 30 years. The seasonal propagation of different drought was prominent, with stronger spread relationships in summer. Persistent meteorological drought was more likely to trigger the other two types of droughts. The intensity and range both increased during the propagation from meteorological drought to ecohydrological drought. The cascade effect was differed in different time scales. The multi-year persistent climatic drought has an overwhelming cascade effect on soil drought and ecohydrological drought. For seasonal or annual drought, vegetation cover change has an amplifying or mitigating impact on the cascade effect, where soil moisture, evapotranspiration (ET), and their relationship all play important roles. In eastern areas with better vegetation cover, the reduction of vegetation in the early stage aggravated the cascading effect of meteorological drought to ecohydrological drought through reducing ET. In the northwestern sparsely vegetated areas, ET was mainly influenced by meteorological factors, and the cascade effect of meteorological factors to ecohydrological drought was more obvious than that of soil drought.