Droughts severely affect water resources, exacerbating food insecurity and economic instability. Drought impacts are influenced by environmental and socio-economic factors but their link is not always clearly understood. This study examines the relation between drought hazard and impacts under different socio-economic vulnerability factors in 21 counties in Kenya. Impacts considered are household distance to water (HWD), livestock distance to water (LDW), milk production (MPR), and child malnutrition. Using Random Forest models, we linked these drought impacts for the period 2013-2022 and drought indices by pooling counties with similar characteristics. We then used these models to hindcast drought impacts for 1984-2014 and determine average annual loss (AAL) for each impact. The results revealed spatial variability in AAL between counties: northwestern counties experience high HDW risks, while eastern and southeastern counties face elevated LDW, MPR, and malnutrition risks. Both environmental (particularly aridity) and socio-economic factors (particularly access to improved sanitation) were found to be important vulnerability factors affecting all four risks in the counties. PML curves showed some more underlying differences, with some counties having a resilient situation (e.g. Makueni w.r.t HDW), a constant but worrying level of drought impacts (e.g. Mandera w.r.t HDW), or a gradual increase of impact with return periods (e.g. malnutrition impacts in Tana River double between once in 2 and 10 year droughts). These findings emphasize the importance of socio-economic and environmental factors in shaping drought risk, and can be used as entry points for interventions. Particularly addressing aridity and sanitation infrastructure seem to be important.