Mid-MO has seen a few reports of hay bales catching fire in recent months, and it's easy to think this is due to recent dryness but many know that's not the case. Hay bales are known to spontaneously combust in the right environment, and a key ingredient is actually moisture.
When moisture is added to a bale of hay, it keeps natural processes occurring as the hay breaks down, which can send the internal temperatures of the bale soaring. When temperatures initially exceed 125-175 degrees, a chain reaction sends temperatures much higher to upwards of 500 degrees or more, leading to combustion.
The most important piece of this is moisture, which allows microorganisms to break down the hay and generate heat; the hay also breaks down faster in a wet environment, generating more heat. The best preventative method is to keep hay in a drier area to prevent the internal temperatures from reaching critical levels. This phenomenon is somewhat common though if hay is harvested into the wetter fall months.