Exceptional drought events, known as megadroughts, have occurred on every continent outside Antarctica over the past ~2,000 years, causing major ecological and societal disturbances. In this Review, we discuss shared causes and features of Common Era (Year 1–present) and future megadroughts. Decadal variations in sea surface temperatures are the primary driver of megadroughts, with secondary contributions from radiative forcing and land–atmosphere interactions. Anthropogenic climate change has intensified ongoing megadroughts in south-western North America and across Chile and Argentina. Future megadroughts will be substantially warmer than past events, with this warming driving projected increases in megadrought risk and severity across many regions, including western North America, Central America, Europe and the Mediterranean, extratropical South America, and Australia. However, several knowledge gaps currently undermine confidence in understanding past and future megadroughts. These gaps include a paucity of high-resolution palaeoclimate information over Africa, tropical South America and other regions; incomplete representations of internal variability and land surface processes in climate models; and the undetermined capacity of water-resource management systems to mitigate megadrought impacts. Addressing these deficiencies will be crucial for increasing confidence in projections of future megadrought risk and for resiliency planning.