On the most literal level, “Dry” is no doubt referring to the fact that she cannot get “wet,” i.e. sexually aroused by this partner she has waited for. The overall sentiment is that Harvey is unsatisfied by this person, therefore the entire experience of being with him is underwhelming–dry.
[Verse 1]
I caught it in the face
Coming around again
I thought it was worth waiting
You're caught up in my hair
Wet sides from time to time
But mostly, I'm just dry
[Chorus]
You leave me dry
You leave me dry
You leave me dry
[Verse 2]
You've come all this way
No hair out of place
You put it on the stage
You put right in my face
[Chorus]
You leave me dry
You leave me dry
You leave me dry
[Verse 3]
No water well in sight
No water at my sides
I'm sucking on the well
I'm sucking till I'm white
[Chorus]
But you leave me dry
You leave me dry
You leave me dry
You leave me dry
You leave me dry
Dry was written by PJ Harvey.
Dry was produced by Steve Albini.