Abstract Climate change is projected to increase the aridity of semi-arid ecosystems, including Mongolian grasslands (MG), which provide ecosystem services that support food supply and pastoralist lifestyle. Here, we conducted a grid-scale (0.5° × 0.5°) probabilistic risk assessment of MG under climate change for 40 years (1976–2015) based on probability theory. We evaluated changes of risk (impacts) and vulnerability of MG to drought between the recent two decades R20 = 1996–2015 and the previous two decades P20 = 1976–1995. The risk is quantified as the product of the probability of hazardous drought and ecosystem vulnerability. The probability of hazardous drought is defined from the Standardized Precipitation–Evapotranspiration Index. Vulnerability is defined as the expected differences of key ecosystem variables between years with and without hazardous conditions. The ecosystem variables are productivity (peak aboveground biomass, net primary productivity, and leaf area index) and root-zone plant-available soil moisture, simulated with a process-based vegetation model Organizing Carbon and Hydrology in Dynamic Ecosystems-Grassland Management validated with field observations of biomass and soil moisture. Results reveal that MG experienced more frequent hazardous droughts with rapid warming and slight drying during R20 aggravated by ever-increasing grazing intensity (34% compared to P20), which resulted in a reduction in soil water availability and grassland productivity, particularly in northeastern areas (20%–65%). The risk of drought to productivity increased by 10% between P20 and R20 over extended areas, particularly in northcentral and northeast Mongolia. The increase in the risk to MG was mainly caused by climate change-induced increase in the probability of hazardous drought and, to a lesser extent, by the increasing vulnerability. Recent droughts modify the risk to grasslands, particularly in northcentral and northeast Mongolia, suggesting that these regions need strategic management for both adaptation and ecosystem conservation to cope with climate change impacts.