Cuticular wax, the first protective layer of above ground tissues of many plant species, is a key evolutionary innovation in plants. Cuticular wax safeguards the evolution from certain green algae to flowering plants and the diversification of plant taxa during the eras of dry and adverse terrestrial living conditions and global climate changes. Cuticular wax plays significant roles in plant abiotic and biotic stress tolerance and has been implicated in defense mechanisms against excessive ultraviolet radiation, high temperature, bacterial and fungal pathogens, insects, high salinity, and low temperature. Drought, a major type of abiotic stress, poses huge threats to global food security and health of terrestrial ecosystem by limiting plant growth and crop productivity. The composition, biochemistry, structure, biosynthesis, and transport of plant cuticular wax have been reviewed extensively. However, the molecular and evolutionary mechanisms of cuticular wax in plants in response to drought stress are still lacking. In this review, we focus on potential mechanisms, from evolutionary, molecular, and physiological aspects, that control cuticular wax and its roles in plant drought tolerance. We also raise key research questions and propose important directions to be resolved in the future, leading to potential applications of cuticular wax for water use efficiency in agricultural and environmental sustainability.