Drought is one of the main abiotic stresses influencing crop production all over the world. Membranes are sensitive to drought stress and easy to be degraded and modified. Lipidome and transcriptome analyses were applied to analyze the responses of membrane lipids to drought stress in two sorghum (Sorghum bicolor (L.) Moench) cultivars, drought-sensitive cv. Hongyingzi and drought-tolerant cv. Kangsi. In total, 156 lipid compounds were identified and the contents of the predominant ones changed significantly under drought stress. Drought significantly decreased the unsaturation indices (UI) of digalactosyl-diacylglycerol (DGDG), monogalactosyl-diacylglycerol (MGDG), phosphatidylglycerol (PG) and phosphatidylcholine (PC) in both cultivars, except for insignificant changes of UI for DGDG in cv. Kangsi. Transcriptome sequencing analysis identified genes related to membrane lipid remodeling such as phospholipase D α1 (PLDα1), phospholipase D δ (PLDδ), and phospholipase A 2 (PLA2). By integrating transcriptome data and lipidome data, weighted gene co-expression network analysis (WGCNA) identified hub genes, transcription factors and the genes involved in lipid metabolism. Then, the protein and protein interaction (PPI) was analyzed using STRING and the possible candidate genes regulating membrane lipids under drought stress were obtained, including CCT2, CER1, DGK1, DGK5, EMB3174, KCS4, LCB2, PAH1, PLDP1, PKP-β1, and KCS11. The results from this study have the potential to accelerate the process to breed drought-tolerant sorghum lines.