The standardized precipitation evapotranspiration index (SPEI) is considered appropriate for drought assessment. In this study, changes in drought characteristics and the sensitivity of SPEI to variations in potential evapotranspiration (PET) and precipitation (P) were detected at different timescales (1, 3, 6, and 12 months) on the Huang-Huai-Hai Plain in China from 1901–2015. The results showed that obvious wetting trends were found in this plain and higher SPEI values that were mostly located in the north. Additionally, the SPEI values showed a wetting trend across 83.4%, 99.6%, 98.6%, and 86.6% of the plain at the 1-month (SPEI-01), 3-month (SPEI-03), 6-month (SPEI-06), and 12-month (SPEI-12) timescales, respectively. Obviously, the SPEI displayed a stronger correlation with P than the PET, which was primarily due to the complicated SPEI calculation process. These findings provide critical guidance for sustainable ecological development with the use of the SPEI to detect the impacts of climate factors on drought.