This study proposes the Hurst exponent (H) to detect persistence in the Palmer Drought Severity Index (PDSI) over Turkey. Since a fractal structure admits the behaviour of global determinism and local randomness, the H exponent values could be used to detect self-similar statistical structure of the time series. Additionally, the H value >0.5 and near 1 shows the intensity level of persistence. The term persistence may be assessed as a criterion to be used as a measure of predictability. Moreover, the predictability index, fractal dimension and autocorrelation function of the PDSI values can also be obtained from the H values. Nevertheless, it is not easy to find a spatial meaning of information content of the results obtained by the methods used in the present study. For that reason, the Mann-Kendall (MK) trend test was also used, and the results showed that significant negative trends are widespread throughout the country. As expected, the H values were close to 1 in places where statistically significant trends exist. The high values of the H exponent in all the regions can be explained by the droughts observed there that might be caused due to the possible associations with the large-scale atmospheric circulations. In this context, it is suggested that the droughts can be predictable by constructing the appropriate general climate circulation models.