Millets' protein studies are lagging behind those of major cereals. Current status and future insights into the investigation of millet proteins are discussed. Millets are important small-seeded cereals majorly grown and consumed by people in Asia and Africa and are considered crops of future food security. Although millets possess excellent climate resilience and nutrient supplementation properties, their research advancements have been lagging behind major cereals. Although considerable genomic resources have been developed in recent years, research on millet proteins and proteomes is currently limited, highlighting a need for further investigation in this area. This review provides the current status of protein research in millets and provides insights to understand protein responses for climate resilience and nutrient supplementation in millets. The reference proteome data is available for sorghum, foxtail millet, and proso millet to date; other millets, such as pearl millet, finger millet, barnyard millet, kodo millet, tef, and browntop millet, do not have any reference proteome data. Many studies were reported on stress-responsive protein identification in foxtail millet, with most studies on the identification of proteins under drought-stress conditions. Pearl millet has a few reports on protein identification under drought and saline stress. Finger millet is the only other millet to have a report on stress-responsive (drought) protein identification in the leaf. For protein localization studies, foxtail millet has a few reports. Sorghum has the highest number of 40 experimentally proven crystal structures, and other millets have fewer or no experimentally proven structures. Further proteomics studies will help dissect the specific proteins involved in climate resilience and nutrient supplementation and aid in breeding better crops to conserve food security.