Drylands provide multiple essential services to human society, and dryland vegetation is one of the foundations of these services. There is a paradox, however, in the vegetation productivity–precipitation relationship in drylands. Although water is the most limiting resource in these systems, a strong relationship between precipitation and productivity does not always occur. Such a paradox affects our understanding of dryland vegetation dynamics and hinders our capacity to predict dryland vegetation responses under future climates. In this perspective, we examine the possible causes of the dryland precipitation–productivity paradox. We argue that the underlying reasons depend on the location and scale of the study. Sometimes multiple factors may interact, resulting in a less significant relationship between vegetation growth and water availability. This means that when we observe a poor correlation between vegetation growth and water availability, there are potentially missing sources of water input or a lack of consideration of other important processes. The paradox could also be related to the inaccurate measurement of vegetation productivity and water availability indicators. Incorporating these complexities into predictive models will help us better understand the complex relationship between water availability and dryland ecosystem processes and improve our ability to predict how these ecosystems will respond to the multiple facets of climate change.