WRKY transcription factors (TFs), one of the largest transcription factor families in plants, play an important role in abiotic stress responses. The resurrection plant, Myrothamnus flabellifolia, has a strong tolerance to dehydration, but only a few WRKY proteins related to abiotic stress response have been identified and functionally characterized in M. flabellifolia. In this study, we identified an early dehydration-induced gene, MfWRKY40, of M. flabellifolia. The deduced MfWRKY40 protein has a conserved WRKY motif but lacks a typical zinc finger motif in the WRKY domain and is localized in the nucleus. To investigate its potential roles in abiotic stresses, we overexpressed MfWRKY40 in Arabidopsis and found that transgenic lines exhibited better tolerance to both drought and salt stresses. Further detailed analysis indicated that MfWRKY40 promoted primary root length elongation and reduced water loss rate and stomata aperture (width/length) under stress, which may provide Arabidopsis the better water uptake and retention abilities. MfWRKY40 also facilitated osmotic adjustment under drought and salt stresses by accumulating more osmolytes, such as proline, soluble sugar, and soluble protein. Additionally, the antioxidation ability of transgenic lines was also significantly enhanced, represented by higher chlorophyll content, less malondialdehyde and reactive oxygen species accumulations, as well as higher antioxidation enzyme activities. All these results indicated that MfWRKY40 might positively regulate tolerance to drought and salinity stresses. Further investigation on the relationship of the missing zinc finger motif of MfWRKY40 and its regulatory role is necessary to obtain a better understanding of the mechanism underlying the excellent drought tolerance of M. flabellifolia.