Concept: Drought-prone areas are regions that frequently face low rainfall, water shortage, crop failure, and dry climatic conditions.
Step 1: Understanding drought-prone districts.
Drought risk is high where rainfall is low or irregular and where agriculture depends heavily on monsoon rainfall.
\[
\text{Drought risk} = \text{Low rainfall + High water stress}
\]
Step 2: Checking the given districts.
Kalahandi in Odisha is well known for drought and poverty-related distress.
Purulia in West Bengal is a drought-prone district.
Banda in Uttar Pradesh, located in Bundelkhand region, is also drought-prone.
Step 3: Selecting the district comparatively not drought-prone.
Bhopal in Madhya Pradesh is comparatively less known as a drought-prone district among the given options.
Therefore, the correct answer is Bhopal in Madhya Pradesh.