There are a variety of metrics that are used to monitor drought conditions, including soil moisture and drought indices. This study examines the relationship between in situ soil moisture, NLDAS-2 soil moisture, and four drought indices: the standardized precipitation index, the standardized precipitation evapotranspiration index, the crop moisture index, and the Palmer Z index. We evaluate how well drought indices and the modeled soil moisture represent the intensity, variability, and persistence of the observed soil moisture in the southern Great Plains. We also apply the drought indices to evaluate land–atmosphere interactions and compare the results with soil moisture. The results show that the SPI, SPEI, and Z index have higher correlations with 0–10-cm soil moisture, while the CMI is more strongly correlated with 0–100-cm soil moisture. All the drought indices tend to overestimate the area affected by moderate to extreme drought conditions. Significant drying trends from 2003 to 2017 are evident in SPEI, Z index, and CMI, and they agree with those in the observed soil moisture. The CMI captures the intra- and interannual variability of 0–100-cm soil moisture better than the other drought indices. The persistence of CMI is longer than that of 0–10-cm soil moisture and shorter than that of 0–100-cm soil moisture. Model-derived soil moisture does not outperform the CMI in the 0–100-cm soil layer. The Z index and CMI are better drought indices to use as a proxy for soil moisture when examining land–atmosphere interactions while the SPI is not recommended. Soil type and climate affect the relationship between drought indices and observed soil moisture.