Climate extreme events exert disproportionate impacts on ecosystems and humankind. Focusing on univariate statistics to estimate the harm from compound extreme events usually falls short in communicating the real risk. Here, the co-occurrence of hot, dry, and windy events (HDWs) in the central United States was analyzed over the period 1949–2018. Results demonstrate south-west Kansas and north Texas as locations where HDWs are more frequent. The combination of drought and a heatwave in 1980 and 2011, increased the likelihood of HDWs. Use of copula enables the study of the co-occurrence of multiple extremes. The copula approach identified a greater risk of HDWs compared with traditional empirical analysis. The dependence structure between the temperature, humidity, and wind variables showed no effect on the co-occurrence frequency of HDWs in the warm-season (May through September). Results suggest an increase in the risk of HDWs in spite of the historical wind speed drop across the majority of Great Plains. Multivariate perspectives are necessary for a more informed assessment of compound extremes risk and for improved design of adaption strategies.