Millets are drought-resistant crops that generate significant amount of by-products (bran, husk, stalk etc.) during harvesting and processing. These by-products are storehouse of nutrients and high value compounds including polyphenols, dietary fiber, proteins etc. However, these by-products remain underutilized and generally discarded, burned or used as feedstock causing adverse impact on the environment and human health in addition to loss of valuable nutrients. Therefore, the valorization of millet by-products offers sustainable approach to enhance food product innovation while reducing agricultural waste. Green extraction techniques can be employed to recover antioxidants, phenolics, and bioactive peptides from these by-products. The incorporation of these ingredients into food products can significantly improve the nutritional profile, functional characteristics, like antioxidant, prebiotic, anti-diabetic, and anticarcinogenic properties. The review highlights the feasibility of upcycling millet by-products into high-value components, which can address the growing demand for health-oriented food products contributing towards food security, sustainability and circular economy.