Pearl millet plays a major role in food security in arid and semi-arid areas of Africa and India. However, it lags behind the other cereal crops in terms of genetic improvement. The recent sequencing of its genome opens the way to the use of modern genomic tools for breeding. Our study aimed at identifying genetic components involved in early drought stress tolerance as a first step toward the development of improved pearl millet varieties or hybrids. A panel of 188 inbred lines from West Africa was phenotyped under early drought stress and well-irrigated conditions. We found a strong impact of drought stress on yield components. This impact was variable between inbred lines. We then performed an association analysis with a total of 392,493 SNPs identified using Genotyping-by-Sequencing (GBS). Correcting for genetic relatedness, genome wide association study identified QTLs for biomass production in early drought stress conditions and for stay-green trait. In particular, genes involved in the sirohaem and wax biosynthesis pathways were found to co-locate with two of these QTLs. Our results might contribute to breed pearl millet lines with improved yield under drought stress.