Drought caused by extreme climate change has become more severe and unpredictable, causing imperceptible effects on leaf photosynthesis in foxtail millet. To investigate the damage, we performed light drought (LD) and heavy drought (HD) treatments at both the elongation (Y) and booting stages to obtain a comprehensive understanding of the morphological, anatomical, physiological, transcriptome, and metabolome levels. Under drought stress, the length and area of leaves decreased, especially during the HD treatment at the booting stage. The number of mesophyll cells and the area of large vascular bundles decreased under LD and HD treatments at the booting stage, with more blurring vascular bundle structure and Kranz anatomy. However, these numbers decreased with no significance under Y-LD and Y-HD treatments at the elongation stage. The net photosynthetic rate, stomatal conductivity, transpiration rate, and intercellular CO2 concentration significantly decreased at the booting stage. In addition, the efficiency of electron transfers in photosystem II (PSII) decreased. Conjunction analyses of the transcriptome and metabolome were utilized to uncover the underlying mechanism at the booting stage. The results showed no common differentially enriched pathway in the transcriptome and metabolome under LD treatment. However, 32 pathways were enriched in both the transcript and metabolome under HD treatment. Among these, three pathways, including arginine and proline metabolism, tyrosine metabolism, and ubiquinone, along with other terpenoid-quinone biosynthesis pathways, were differentially enriched in both the transcript and metabolome. The accumulation of homogentisate, salidroside, homoprotocatechuate, L-DOPA, tyramine, and L-tyrosine increased under drought stress. Although genes related to PSII and the Calvin cycle were slightly up-regulated under LD conditions, they were down-regulated under HD conditions. The metabolites of ribose-5P, glycerate-3P, D-fructose-1, 6P2, and D-fructose-6P were all decreased in both the LD and HD treatments, especially D-fructose-6P, confirming that drought stress harmed the Calvin cycle. The results revealed that regardless of the severity of drought, the photosynthetic function was compromised not only at the morphological and anatomical levels but also in terms of impaired ATP synthase and inhibited photosynthetic CO2 assimilation.