The exceptional nutritional profile and distinct agricultural performance of millet, a drought-resistant crop, position it as a promising sustainable food source. As the triple burden of malnutrition—underweight, obesity, and micronutrient deficiencies—continues to escalate, millet, often referred to as nutri-cereals, holds the potential to mitigate food insecurity in our country. Millets are rich in various macro- and micronutrients and contain several bioactive compounds, such as polyphenols, flavonoids, phytosterols, and policosanols, which function as antioxidants and confer numerous health benefits. The bioavailability and digestibility of these nutrients are significantly influenced by the processing techniques applied to millets, underscoring the urgent need for technological advancements. This review article provides a comprehensive analysis of the nutritional properties of millet, examining the impact of both traditional and modern processing techniques on these attributes. Conventional processing methods, including milling, malting, fermentation, and roasting, have been extensively employed to enhance the nutritional profile of millets, with varying effects on nutrient composition and antinutritional factors. For instance, raw finger millet contains 301 mg/100 g of tannin and 425 mg/100 g of phytic acid; post-germination, these values decrease to 168 mg/100 g and 270 mg/100 g, respectively. Mineral analysis of finger millet after germination indicates increased levels of calcium due to the reduction of oxalic acid, and a significant increase in the iron content of germinated finger millet flour is observed. Regarding proximate composition, a study on pearl millet found an increase in protein content from 15.25 ± 0.21 g/100 g to 15.35 ± 0.35 g/100 g after 24 hours of fermentation. Modern processing techniques, including cold plasma technology, ultrasound processing, gamma irradiation, and high-pressure processing, have emerged as potential alternatives to traditional methods. The unprocessed pearl and barnyard millets have 84.03 ± 0.075 mg/100 g and 82.28 ± 0.03 mg/100 g of phenolic content, respectively. On cold plasma treatment, these values were reduced to 2% in pearl and 19% in barnyard millet. A study on the ozonation of foxtail millet flour has found a significant decrease in the tannin content from 64.83 mg/100 g to 112.43 mg/100 g, and a reduction in total flavonoid content was also reported. These novel approaches aim to enhance functional attributes and energy efficiency while preserving nutritional quality. Understanding the alterations in the nutrient value of millet resulting from both traditional and modern processing can assist the food industry, researchers, and consumers in selecting appropriate processing techniques to optimize nutrient content.