Millets rank six in the world cereal grain production. In Africa and Asia, these underutilized grains play a major role in the food security of millions of people. In addition to being a rich source of nutrients, millet grains have an abundance of phytochemicals, particularly phenolic compounds. This review will focus on the bioactivities and health benefits of millet phenolics as revealed by in vitro and in vivo studies. Phenolic compounds in millets are found in the soluble as well as insoluble-bound forms. Both hydroxybenzoic and hydroxycinnamic acids and their derivatives are notably present in different types of millet grains in varying proportion. Meanwhile, flavonoids exist mainly in the free form. A wide variation exists in the phenolic content and antioxidant capacity of millet grains. Further, millet grain phenolics, are bioaccessible, possess bioactivities against several pathophysiological conditions and may serve as potential natural sources of antioxidants in food and biological systems. While this review also shows the existence of a substantial body of evidence for in vitro antioxidant activity of millet grain phenolics, there is a clear gap for in vivo information. However, the use of millets, as nutraceuticals and specialty foods in disease risk reduction and overall health and wellness is warranted.