Drought is a major abiotic stress that affects plant growth, production, and survival. Plants have evolved sophisticated and highly complex reactions to drought stress, including large-scale transcriptome reconfiguration. Foxtail millet (Setaria italica) is a member of the Poaceae family. Because of its outstanding tolerance to drought stress foxtail millet has the potential to become a new model organism. To enrich our knowledge of the processes that contribute to drought resistance, we have used a deep sequencing approach to generate a genome-wide transcriptome of foxtail millet after exposure to simulated drought stress. A large number of differentially expressed genes were characterized; in particular, we examined the roles of small interfering RNAs (siRNAs) and long noncoding RNAs (lncRNAs) in response to a water-deficit condition. These RNAs have remained largely unexplored in previous studies of stress-induced transcriptomes. We found that the reduced levels of 24-nt siRNA flanking genes were associated, for the most part, with proximal up-regulated genes, indicating a potential effect of 24-nt siRNAs on drought-regulated gene expression. Several lncRNAs that responded to the simulated drought stress were also identified, and we found that one of them shared sequence conservation and colinearity with its counterpart in sorghum (Sorghum bicolor). Our findings provide new insights into drought-induced changes in the foxtail millet transcriptome.