Most current drought indices rely on a representative parametric distribution function to fit data, which results in different tail behaviors. Additionally, a drought index based on a single variable may not be sufficient for monitoring drought conditions timely and reliably. Therefore, a nonparametric multivariate drought index (NMSDI) combined with the information of precipitation and streamflow was introduced in this study, without assuming representative parametric distributions. It was applied to characterize drought in the Yellow River Basin (YRB) on seasonal and annual scales. Results indicate that: (1) the variations of developed NMSDI is well consistent with those of 1-month SPI (standardized precipitation index) and SSI (standardized streamflow index), indicating the reliability and effectiveness of the newly proposed nonparametric based drought index; (2) a decreasing NMSDI trend was found over the period of 1952–2012 at seasonal and annual time scales, which would reverse in the future as suggested by the Hurst index; (3) no significant change points were detected for the annual NMSDI series over the YRB except one (i.e. the year 1991) in the middle streamflow sub-basin Wei River Basin (WRB) which was primarily caused by the combined effects of climate change and human activities.