Abstract: Financial support to agriculture is a crucial policy tool for mitigating the impact of droughts, ensuring food security, and promoting stable agricultural production and income growth. Understanding the mechanism and inflection points of its effects within the drought–food system is essential for enhancing agricultural disaster prevention and mitigation capacity. Based on drought classification standards, this study classifies drought events across 31 provinces in China and reveals their spatiotemporal evolution from 2000 to 2022. A fixed effects model is employed to empirically test the impact of different drought severity levels on grain yield. Furthermore, using the level of financial support to agriculture as a threshold variable, a panel threshold regression model is constructed to identify the critical values and heterogeneous characteristics of its effect on the drought–food system. The results show that overall drought intensity and affected area in China have declined over time, and the negative impact of drought on grain yield is significant and regionally heterogeneous, with the most severe effects observed in Class IV regions. There is a significant nonlinear threshold effect of financial support within the drought–food system, with two critical threshold values identified at 6.50% and 14.28%. The mitigation effect of financial support is most pronounced between these thresholds. The threshold effects vary across time and regions: after 2010, the threshold values increased significantly, reflecting greater demands for fiscal efficiency as agricultural resilience improves; in northern China, the marginal benefit of disaster mitigation is more evident, while in southern regions, the effect shows a nonlinear pattern of decreasing first and then increasing. These findings provide policy implications for optimizing the structure of financial support according to local conditions and improving the resilience of the agricultural system.