Sorghum (Sorghum bicolor L. Moench), a monocot C4 crop, is an important staple crop for many countries in arid and semi-arid regions worldwide. Because sorghum has outstanding tolerance and adaptability to a variety of abiotic stresses, including drought, salt, and alkaline, and heavy metal stressors, it is valuable research material for better understanding the molecular mechanisms of stress tolerance in crops and for mining new genes for their genetic improvement of abiotic stress tolerance. Here, we compile recent progress achieved using physiological, transcriptome, proteome, and metabolome approaches; discuss the similarities and differences in how sorghum responds to differing stresses; and summarize the candidate genes involved in the process of responding to and regulating abiotic stresses. More importantly, we exemplify the differences between combined stresses and a single stress, emphasizing the necessity to strengthen future studies regarding the molecular responses and mechanisms of combined abiotic stresses, which has greater practical significance for food security. Our review lays a foundation for future functional studies of stress-tolerance-related genes and provides new insights into the molecular breeding of stress-tolerant sorghum genotypes, as well as listing a catalog of candidate genes for improving the stress tolerance for other key monocot crops, such as maize, rice, and sugarcane.