Drought stress is one of the most important abiotic factors limiting crop productivity. A better understanding of the effects of drought on millet (Setaria italica L.) production, a model crop for studying drought tolerance, and the underlying molecular mechanisms responsible for drought stress responses is vital to improvement of agricultural production. In this study, we exposed the drought resistant F1 hybrid, M79, and its parental lines E1 and H1 to drought stress. Subsequent physiological analysis demonstrated that M79 showed higher photosynthetic energy conversion efficiency and drought tolerance than its parents. A transcriptomic study using leaves collected six days after drought treatment, when the soil water content was about ∼20%, identified 3066, 1895, and 2148 differentially expressed genes (DEGs) in M79, E1 and H1 compared to the respective untreated controls, respectively. Further analysis revealed 17 Gene Ontology (GO) enrichments and 14 Kyoto Encyclopedia of Genes and Genomes (KEGG) pathways in M79, including photosystem II (PSII) oxygen-evolving complex, peroxidase (POD) activity, plant hormone signal transduction, and chlorophyll biosynthesis. Co-regulation analysis suggested that these DEGs in M79 contributed to the formation of a regulatory network involving multiple biological processes and pathways including photosynthesis, signal transduction, transcriptional regulation, redox regulation, hormonal signaling, and osmotic regulation. RNA-seq analysis also showed that some photosynthesis-related DEGs were highly expressed in M79 compared to its parental lines under drought stress. These results indicate that various molecular pathways, including photosynthesis, respond to drought stress in M79, and provide abundant molecular information for further analysis of the underlying mechanism responding to this stress.