Abstract: In the context of global warming, the spatiotemporal correlation between extreme drought and heatwave events has intensified over time. Their compounding effects not only amplified their individual impacts but also exacerbated the pressure on water resources, agriculture, and ecological environments. Based on the fifth-generation reanalysis data from the European Centre for Medium-Range Weather Forecasts (ERA5), this study calculated the standardized precipitation evapotranspiration index (SPEI) and the standardized temperature index (STI) and employed the Frank Copula function to construct the standardized compound dry and hot index (SCDHI). This approach systematically revealed the spatiotemporal evolution characteristics of compound hot–dry events in the Mongolian Plateau between 1982 and 2023. Additionally, the study integrated a random forest regression model to identify and quantify the key climatic factors that influenced compound hot–dry events in the region. The results indicated that over the past four decades, the intensity, frequency, and affected area of compound hot–dry events in the Mongolian Plateau exhibited a significant decreasing trend. Among the climatic variables, STI was the most influential factor affecting the compound events, with a feature importance value of approximately 0.5. This was followed by SPEI, temperature, and potential evapotranspiration (PET), with feature importance values of 0.3, 0.1, and 0.1, respectively, while precipitation had a relatively weak impact. This study underscored the need to incorporate the long-term impacts of compound hot–dry events into the protection and management of the grassland ecosystem of the Mongolian Plateau. It emphasized the importance of developing adaptive management strategies based on scientific predictions and risk assessments to enhance the resilience and sustainability of the ecosystem.