Sesame is an important oilseed crop with a high oil quality. It is prone to drought stress in the arid and semi-arid areas where it is widely grown. This study aims to decipher the response of tolerant (DT) and sensitive (DS) genotypes to progressive drought based on transcriptome, biochemical and physio-anatomical characterizations. Results indicated that under severe stress, DT relied on a well-functioning taproot while DS displayed a disintegrated root due to collapsed cortical cells. This was attributed to a higher accumulation of osmoprotectants and strong activity of antioxidant enzymes especially peroxidases in DT. From roots, DT could supply water to the aboveground tissues to ensure photosynthetic activities and improve endurance under stress. Temporal transcriptome sequencing under drought further confirmed that DT strongly activated genes related to antioxidant activity, osmoprotection and hormonal signaling pathways including abscisic acid and Ethylene. Furthermore, DT displayed unique differentially expressed genes in root functioning as peroxidases, interleukin receptor-associated kinase, heat shock proteins, APETALA2/ethylene-responsive element-binding protein and mitogen activated protein kinase, to effectively scavenge reactive oxygen species and preserve root cell integrity. Finally, 61 candidate genes conferring higher drought tolerance in DT were discovered and may constitute useful resources for drought tolerance improvement in sesame.