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Example unit:
Cadre Fireblade w/ 2 gun drones
Strike team with Guardian and gun drones
Unit is sitting on your deployment zone Objective.

When shooting normally, without being a guided unit, the drones hit on 5+

When shooting overwatch, the Strike team ability states you shoot overwatch on 4+.

Does that mean even the drones are better at shooting overwatch than when they shoot normal?

Yes. Both the Drone Weapons and the Support Turret will hit on an unmodified 4+. Note those are Hits, not Critical Hits.