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China's Loess Plateau (CLP) has experienced severe water loss and soil erosion over the past few decades. To prevent water loss and soil erosion and improve ecological environment, the Grain for Green Project (GGP) was launched in 1999. Meanwhile, the frequency and severity of drought in CLP has shown an increasing trend in the recent years. However, few studies have addressed the coupled effects of drought and the GGP on vegetation dynamics in this area. Based on the Standardized Precipitation Evapotranspiration Index (SPEI) and Normalized Difference Vegetation Index (NDVI), this study assesses the change trends of drought and vegetation dynamics and the role of droughts and GGP on trends in vegetation dynamics. Results show that: (1) At the regional scale, annual and seasonal NDVI show a significant increase from 2000 to 2014; however, drought change trends were insignificant. (2) At the pixel scale, annual, spring, summer, and autumn NDVI increased in the CLP from 2000 to 2014, with 51.92%, 50.04%, 74%, and 62.69% of the study area showing a significant increase, respectively, with p < 0.05. Summer drought had strongest effect on vegetation dynamics. (3) Drought was one of the primary reasons for the decreasing trend of NDVI in the northern of the CLP. The severe and extreme drought (SPEI < -1.5) in summer of 2001 and 2005 reduced the NDVI by 22.44% and 9.98%, respectively. (4) The residual analysis results indicate that 21.54% of the CLP was affected by drought. 43.64% and 34.82% of the CLP experienced human induced improvement and degradation, respectively. (5) The GGP had an important influence on vegetation dynamics, strong correlations between the cumulative afforestation area and annual NDVI in Yan'an and Yulin from 2000 to 2013 were found, with r = 0.96 and 0.65. The spatial pattern of the cumulative afforestation area ratio matched quite well with the NDVI change trend.