Abstract: To analyze the nonlinear response mechanism of water-carbon coupling in the ecosystem under drought stress, the wavelet coherence analysis was used to select optimal drought indices, and the distributed lag model (DLM) was applied to explore the lag and cumulative effects of ecosystem water use efficiency (WUE) in response to drought stress in the Wei River basin. The results are as follows: ① The standardized precipitation evapotranspiration index (SPEI) is the optimal index for characterizing vegetation water dynamics, and WUE and SPEI in the Wei River basin during the period 2000—2022 exhibit a significant synergistic evolution pattern of both increase (accounting for 75.1%); ② The temporal scale of drought effects on WUE shows a spatial differentiation pattern of short term in the northwest and long term in the southeast, and the basin mainly exhibits a response mechanism of physiological lag (accounting for 41.9%); ③ The cumulative effect of drought on WUE is mainly driven by changes in ecosystem gross primary productivity (GPP), and its response intensity is significantly higher than that of the evapotranspiration process; ④ Differences in drought resistant strategies of various vegetation types lead to differentiation of thresholds for ecological management. It is recommended that the warning threshold for grassland should be set at −0.26 and the intervention threshold for forests at −3.0. This study quantifies the nonlinear vegetation response to drought in a climatic transition zone and provides a scientific basis for regional management of ecological risk.