Either high temperatures, drying winds or both. Temperatures here hit 103 so guess what lots of bushes are also doing? Wilting too.

It is a naural response by the shurbs to conserve the water. Anytime you have high temps and winds, the shrubs will loose moisture thru the leaves faster than they can replace it thru the roots. To prevent that, they wilt.

As long as the soil feels moist and the plant is well mulched with 3-4" of any kind of acidic mulch, the plant should recover on its own by next morning. Some recover even earlier, by night fall for example. This is the time of the year for monitoring the soil moisture often, specially on new plants. And those planted very recently.

If the wilting episode looks extreme when compared to previous ones, water 1/2 gallon to 1g of water immediately on new plants (more on larger bushes). But otherwise, check using the finger method. If the soil feels almost dry or dry when you insert a finger to a depth of 4" then apply 1/2 gallon to 1g of water on new plants (more on larger bushes). If the soil feels moist or wet then wait until next morning to see if it recovers on its own.

The idea is to let the plant recover on its own when there is enough moisture on the soil to do that. As I said, many times, they will recover when sun goes down and the temps follow it. If it is still wilted in the morning apply 1/2 gallon to 1g of water on new plants (more on larger bushes).

By not applying water every time that the plant wilts, you minimize the chances of aiding on the development of fungal infections that cause root rot.

Something else to consider... azaleas and rhodies are very sensitive to moisture problems due to their shallow roots. More so than most plants in my garden. If you have other plants with shallow roots, you may want to water them too when you determine that your 3-weeks old shrub needs to be watered.

As Luis pointed out, the mulch to conserve moisture is important. But I'm also wondering if you loosened the rootball when you installed the rhododendron, it can be very hard to wet if still in its tight pot shape even if you are carefully supplying water...

Hopefully this is just some temporary stress due to being newly planted, but if your summers are warmer than my own cool maritime climate, you may find July is not the best time to install plants.

Thank you for the great advice, you all. Come to think of it, we did have hot temps of 85+ degrees last few days.I will closely monitor the moisture loss next few days and put an extra layer of mulch as well, jic.
As far as I remember, I ALWAYS loosen the rootball when planting so that should not be a factor.
Would it help to fertilize my rhody during its droopy leaves phase?Any special kind of fertilizer?
Thanks again. Wonderful and prompt responses.

Lack of nutrients isn't causing the droop so fertilizer would be of no help. It's not a good idea to fertilize a plant under other stress - may cause more harm than good.