Proso millet (Panicum miliaceum L.) is among the earliest domesticated millet species and serves as a vital staple food for populations living in arid and semi-arid regions worldwide. This review highlights its rich nutritional profile, including high-quality proteins rich in essential amino acids (such as isoleucine, methionine, and leucine), essential fatty acids (notably linoleic acid, an omega-۶ fatty acid), and antioxidant compounds such as phenolic acids and glycosylated flavonoids. Compared to common cereals like rice and wheat, proso millet offers higher protein quality and a richer profile of bioactive compounds, highlighting its potential as a valuable functional food ingredient. Beyond its nutritional value, proso millet exhibits multiple health-promoting properties, including antioxidant, anti-diabetic, anti-cancer, antiproliferative, anti-liver injury, and anti-obesity effects. Its gluten-free nature also makes it suitable for individuals with celiac disease. It may have significant benefits for maintaining the gastrointestinal, respiratory, and cardiovascular systems, as well as hair health. Furthermore, advanced processing techniques, including physiochemical and bioprocessing techniques (such as fermentation and germination), thermal processing, and non-thermal technologies, have shown promise in enhancing its nutritive and antioxidant compounds while reducing antinutritional factors. In addition, multidisciplinary approaches, including genomics and bioinformatics, play a crucial role in advancing millet improvement and achieving nutritional security. Despite its functional potential, proso millet remains underutilized commercially due to technical limitations, including the short shelf life of millet flour, the degradation of micronutrients, total proteins, and dietary fiber during dehulling, and a lack of studies focused on industrial scaling. Overall, this review highlights proso millet as a sustainable, health-promoting crop that aligns with global efforts to combat malnutrition and chronic diseases while enhancing food system resilience to climate change.