Investigating the bidirectional causal relationships between climate and vegetation is essential for understanding ecosystem dynamics in drylands under global warming. Previous studies have largely focused on the influence of climate on vegetation, with insufficient consideration given to feedback effects and time lags. Here, we use leaf area index (LAI), enhanced vegetation index (EVI), soil moisture (SM), and vapor pressure deficit (VPD) data for 1982‒2023 in global drylands to investigate bidirectional time-lagged causal effects between climate and vegetation. We quantify these causal effects and explore the soil-vegetation-atmospheric moisture coupling strength along climate and tree cover gradients. Our results demonstrate an overall positive effect of SM and a negative effect of VPD on vegetation greening (i.e. LAI and EVI) in global drylands, while the causal effect of VPD (23.7%‒31.6%) is more widespread than that of SM (12.6%‒12.7%). We also find dryland greening depletes SM and replenishes atmospheric moisture, albeit the latter to a lesser extent. The causal effect magnitudes of soil and atmospheric moisture on vegetation decreases with increasing tree cover, while the causal effect of SM on greening shows significantly steeper decline with increasing tree cover (p < 0.001). These findings contribute to a more comprehensive understanding of dryland vegetation dynamics under a changing climate.