If you have large lists making b a set will be more efficient:
st = set(b)
print([b.index(x) for x in a if x in st])
As your data is sorted and presuming all elements from a are in b you can also use bisect so each index lookup is O(log n):
a = [1993, 1993, 1994, 1995, 1996, 1996, 1998, 2003, 2005, 2005]
b = [1966, 1967, 1968, 1969, 1970, 1971, 1972, 1973, 1974, 1975, 1976, 1977, 1978, 1979, 1980, 1981, 1982, 1983, 1984, 1985, 1986, 1987, 1988, 1989, 1990, 1991, 1992, 1993, 1994, 1995, 1996, 1997, 1998, 1999, 2000, 2001, 2002, 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011, 2012, 2013, 2014]
from bisect import bisect_left
print [bisect_left(b, x) for x in a]
[27, 27, 28, 29, 30, 30, 32, 37, 39, 39]
On the small dataset it runs twice as fast as just indexing:
In [22]: timeit [bisect_left(b, x) for x in a]
100000 loops, best of 3: 4.2 µs per loop
In [23]: timeit [b.index(x) for x in a]
100000 loops, best of 3: 8.84 µs per loop
Another option would be to use a dict to store the indexes which would mean the code would run in linear time, one pass over a and one pass over b:
# store all indexes as values and years as keys
indexes = {k: i for i, k in enumerate(b)}
# one pass over a accessing each index in constant time
print [indexes[x] for x in a]
[27, 27, 28, 29, 30, 30, 32, 37, 39, 39]
Which even on the small input set is a bit more efficient than indexing and as the a grows would be a lot more efficient:
In [34]: %%timeit
indexes = {k: i for i, k in enumerate(b)}
[indexes[x] for x in a]
....:
100000 loops, best of 3: 7.54 µs per loop
In [39]: b = list(range(1966,2100))
In [40]: samp = list(range(1966,2100))
In [41]: a = [choice(samp) for _ in range(100)]
In [42]: timeit [b.index(x) for x in a
10000 loops, best of 3: 154 µs per loop
In [43]: %%timeit
indexes = {k: i for i, k in enumerate(b)}
[indexes[x] for x in a]
....:
10000 loops, best of 3: 22.5 µs per loop