Due to its thermal stability, and high viscosity, proso millet starch has limited practical applications. Extrusion can alter the functional properties of starch by pre-gelatinization, but the specific effects of extrusion temperature on starch behavior are not clear. In this study, proso millet starch was modified using extrusion at varying temperatures (70 °C, 90 °C, 110 °C), and its structure as well as physicochemical properties were evaluated. As the extrusion temperature increased, the starch granules were gelatinized, and the particle size increased significantly. The relative crystallinity of extruded starch decreased and the short-range order was enhanced notably, but the starch still exhibited an A-type structure. Starch chains degraded, migrated, and aggregated, showing an increase in the double helix content, but there was no difference in the single helix structure with temperature. With the increase of extrusion temperature, the amorphous layer of extruded starch thickened. Moreover, the peak viscosity, breakdown viscosity and setback viscosity initially increased and then decreased, the peak temperature and enthalpy change increased. The water absorption index, water solubility and swelling power significantly decreased with increasing temperatures. The freeze-thaw stability and transparency of extruded starch decreased, and showed a downward trend with prolonged time. The above results indicate that extrusion treatment effectively modifies the thermal stability and viscosity of proso millet starch, laying a foundation for applying it different industrial applications.