Hydrogen peroxide (H2O2) functions as a signal molecule in plants under abiotic and biotic stress. In this study, the role of exogenous H2O2 in improving drought tolerance in two soybean cultivars (Glycine max L. Merrill) differing in their tolerance to drought was evaluated. Plants were grown in plastic pots with normal irrigation in a phytotron. Four weeks after radicle emergence, either 1 mM H2O2 or distilled water was sprayed as foliar onto the leaves of each plant, after drought stress was applied. Leaf samples were harvested on the 4th and 7th days of the drought. Antioxidant-related enzyme activity, such as the superoxide dismutase (SOD), catalase (CAT), ascorbate peroxidase (APX), glutathione reductase (GR), monodehydroascorbate reductase (MDHAR), dehydroascorbate reductase (DHAR), hydrogen peroxide (H2O2) and malondialdehyde (MDA) content was measured during the drought period. Drought stress decreased leaf water potential, relative water content and photosynthetic pigment content but enhanced lipid peroxidation and endogenous H2O2 concentration. By contrast, exogenous low dose H2O2 improved water status, pigment content and lipid peroxidation under drought stress. Endogenous H2O2 concentration was reduced by exogenous H2O2 as compared to drought treatment alone. H2O2 pre-treatment induced all the antioxidant enzyme activities, to a greater extent than the control leaves, during drought. H2O2 pretreatment further enhanced the activities of antioxidant enzymes in the tolerant cultivar compared to the sensitive cultivar. Results suggested that low dose H2O2 pre-treatment alleviated water loss and H2O2 content and increased drought stress tolerance by inducing the antioxidant system.