Methyl jasmonate (MeJA), a plant-signalling molecule, is involved in an array of plant development and the defence responses. This study was conducted to explore the role of exogenous MeJA application in alleviating the adversities of drought stress in soybean (Glycine max L. Merrill.). Soybean plants were grown under normal conditions until blooming and were then subjected to drought by withholding irrigation followed by foliar application of (50μm) MeJA. Drought stress substantially suppressed the yield and yield-related traits, whereas it accelerated the membrane lipid peroxidation. Nonetheless, substantial increase in activities of enzymatic antioxidants (superoxide dismutase (SOD), peroxidase (POD), and catalase (CAT)), proline, relative water contents (RWC) with simultaneous decrease in membrane lipid peroxidation was observed in MeJA-treated plants under drought. These beneficial effects led to improvement in biological and grain yield, and harvest index under drought. Interestingly, MeJA application was also useful under well-watered conditions. These results suggest the involvement of MeJA in improving the drought tolerance of soybean by modulating the membrane lipid peroxidation and antioxidant activities.