This study aims to investigate the effect of climate change on the probability of drought occurrence in central Iran. To this end, a new drought index called Multivariate Standardized Drought Index (MSDI) was developed, which is composed of the Standardized Precipitation Evapotranspiration Index (SPEI) and the Standardized Soil Moisture Index (SSI). The required data included precipitation, temperature (from CRU TS), and soil moisture (from the ESA CCA SM product) on a monthly time scale for the 1980–2016 period. Moreover, future climate data were downloaded from CMIP6 models under the latest SSPs-RCPs emission scenarios (SSP1-2.6 and SSP5-8.5) for the 2020–2056 period. Based on the NRMSE, Sn, and NS evaluation criteria, the Galambos and Clayton functions were selected to derive copula-based joint distribution functions in both periods. The results showed that more severe droughts and longer will occur in the future compared to the historical period and in particular under the SSP5-8.5 scenario. From the derived joint return period, a drought event with defined severity or duration will happen in a shorter return period as compared with the historical period. In other words, joint return period indicated a higher probability of drought occurrence in the future period. Moreover, the joint return period analysis revealed that the return period of mild droughts will remain the same, while it decresed over extreme droughts in the future.