Yield loss risk tends to grow faster when experiencing a shift in drought severity from moderate to severe than that from extreme to the exceptional category, demonstrating the non-linear response of yield to the increase in drought severity. Sensitivity analysis shows that temperature plays an important role in determining drought impacts, through reducing or amplifying drought-driven yield loss risk. Compared to present conditions, an ensemble of 11 crop models simulated an increase in yield loss risk by 9%–12%, 5.6%–6.3%, 18.1%–19.4% and 15.1%–16.1 for wheat, maize, rice and soybeans by the end of 21st century, respectively, without considering the benefits of CO2 fertilization and adaptations. This study highlights the non-linear response of yield loss risk to the increase in drought severity. This implies that adaptations should be more targeted, considering not only the crop type and region but also the specific drought severity of interest.