Drought is a complex natural phenomenon, which is challenging to define and to describe quantitatively. Canonical drought propagation scheme ‘meteorological → agricultural (or soil related) → hydrological’ does not always reflect the reality in a catchment. Thus it is necessary to include compound or cascading effects of precipitation, soil moisture and discharge interactions on different time scales to get a comprehensive picture on the drought characteristics, as well as on its development and recovery. We studied the linkage between droughts over multiply temporal scales and severity levels using various statistical methods for a case study of a small forested catchment in Germany. It was found that indeed different types of droughts are highly interconnected and their behavior can significantly differ from the classical scheme. A simple empirical approach gives frequencies, seasonality and trends of various combinations of droughts. It showed that among all types the test site is mostly exposed to a light hydro-meteorological one especially in autumn months with an increasing trend. Multivariate distributions can be used to evaluate joint probabilities and return periods of drought components. It was revealed that the well-known European drought in 2018 was also presented as an extreme case of a joint hydro-meteo-soil drought in the examined catchment. By Markov chains one can analyze the transition and persistence between droughts. Well-established propagation pathways between different types and severity levels of droughts with high persistence for longer droughts were found for the study area.