An ensemble of regional climate model simulations from the European framework project ENSEMBLES is compared with observations of low precipitation events across a number of European regions. We characterize precipitation deficits in terms of two drought indices, the Standardized Precipitation Index and the self-calibrated Palmer Drought Severity Index. Models that robustly describe the observations for the period 1961-2000 in given regions are identified and an assessment of the overall performance of the ensemble is provided. The results show that in general, models capture the most severe drought events and that the ensemble mean model also performs well. Some regions that appear to be more problematic to simulate well are also identified. These are relatively small regions and have rather complex topographical features. The analysis suggests that assessment of future drought occurrence based on climate change experiments in general would appear to be robust. But due to the heterogeneous and often fine-scaled structure of drought occurrence, quantitative results should be used with great care, particularly in regions with complex terrain and limited information about past drought occurrence.