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Drought is one of the major global natural disasters, and appropriate monitoring systems are essential to reveal drought trends. In this regard, deep learning is a very promising approach for characterizing the non-linear nature of drought factors. We used multi-source remote sensing data such as the Moderate Resolution Imaging Spectroradiometer (MODIS) and Climate Hazards Group Infrared Precipitation with Station (CHIRPS) data to integrate drought impact factors such as precipitation, vegetation, temperature, and soil moisture. The application of convolutional long short-term memory (ConvLSTM) to construct an integrated drought monitoring model was proposed and tested, using the Xinjiang Uygur Autonomous Region as an example. To better compare the monitoring performance of ConvLSTM models, three other classical deep learning models and three classical machine learning models were also used for comparison. The results show that the composite drought index (CDI) output by the ConvLSTM model had a consistent high correlation with the drought rating of the multi-scale standardized precipitation evapotranspiration index (SPEI). The correlation coefficients between the CDI and the multi-scale standardized precipitation index (SPI) were all above 0.5 (p < 0.01), which was highly significant, and the correlation coefficient between CDI-1 and the monthly soil relative humidity at a 10 cm depth was above 0.45 (p < 0.01), which was well correlated. In addition, the spatial distribution of the CDI-6 simulated by the model was highly correlated with the degree of drought expressed by the SPEI-6 observations at the stations. This study provides a new approach for integrated regional drought monitoring.