Drought is one of the most significant abiotic stresses that affects the growth and productivity of crops worldwide. Finger millet [Eleusine coracana (L.) Gaertn.] is a C4 crop with high nutritional value and drought tolerance. However, the drought stress tolerance genetic mechanism of finger millet is largely unknown. In this study, transcriptomic (RNA-seq) and proteomic (iTRAQ) technologies were combined to investigate the finger millet samples treated with drought at different stages to determine drought response mechanism. A total of 80,602 differentially expressed genes (DEGs) and 3,009 differentially expressed proteins (DEPs) were identified in the transcriptomic and proteomic levels, respectively. An integrated analysis, which combined transcriptome and proteome data, revealed the presence of 1,305 DEPs were matched with the corresponding DEGs (named associated DEGs-DEPs) when comparing the control to samples which were treated with 19 days of drought (N1-N2 comparison group), 1,093 DEGs-DEPs between control and samples which underwent rehydration treatment for 36 hours (N1-N3 comparison group) and 607 DEGs-DEPs between samples which were treated with drought for 19 days and samples which underwent rehydration treatment for 36 hours (N2-N3 comparison group). Gene ontology (GO) and Kyoto Encyclopedia of Genes and Genomes (KEGG) analysis identified 80 DEGs-DEPs in the N1-N2 comparison group, 49 DEGs-DEPs in the N1-N3 comparison group, and 59 DEGs-DEPs in the N2-N3 comparison group, which were associated with drought stress. The DEGs-DEPs which were drought tolerance-related were enriched in hydrolase activity, glycosyl bond formation, oxidoreductase activity, carbohydrate binding and biosynthesis of unsaturated fatty acids. Co-expression network analysis revealed two candidate DEGs-DEPs which were found to be centrally involved in drought stress response. These results suggested that the coordination of the DEGs-DEPs was essential to the enhanced drought tolerance response in the finger millet.