Drought, being a yield-limiting factor, has become a major threat to international food security. It is a complex process, and drought tolerance response is carried out by various genes, transcription factors, microRNAs, hormones, proteins, co-factors, ions and metabolites. This complexity has limited the development of crop cultivars for drought tolerance. Breeding for drought tolerance is further complicated because several types of abiotic stress, such as high temperatures, high irradiance, and nutrient toxicities or deficiencies, can challenge crop plants simultaneously. Although marker-assisted selection is now widely deployed in wheat, it has not contributed significantly to cultivar improvement for adaptation to low-yielding environments, and breeding has relied largely on direct phenotypic selection for improved performance in these difficult environments. Advances in plant breeding to produce improved and higher performing wheat cultivars are key to making dryland food-production systems more efficient and more resistant to pressure from drought, extremes of cold and heat, unpredictable rainfall, and new pests and diseases. For optimal performance, wheat cultivars can be targeted to specific farming systems, depending on local conditions and stresses. Genetic gain in wheat yield potential during the last century has been achieved by plant breeding and is well documented. It has been studied by comparing, in the same field trial, the yield of cultivars characterised by different years of release. Genomic selection (GS) and high-throughput phenotyping (HTP) have attracted the interest of plant breeders, and both approaches promise to revolutionise the prediction of complex traits, including growth, yield and adaptation to stress. This review describes the impact of drought on yield, trends in yield for boosting crop yields to meet the projected demands of rising global population by 2050, and genetic gain achieved by plant breeding in the last decades; and gathers known functional information on the genes, metabolites and traits and their direct involvement in conferring drought tolerance in wheat. In addition, it discusses recently developed techniques (i.e. GS and HTP) integrated with approaches such as breeding, genetics, genomics, and agronomic strategies for improving drought in wheat.