•Four proso millet grains with different color were subject to metabolomic analysis.•There are more than 100 differential metabolites between white and colored grains.•Colored grains have higher phenolic acid and flavonoid contents than white grains.•Levels of amino acids are significantly different among the four varieties. Proso millet (Panicum miliaceum L.) is a minor cereal crop that has been considered as health-promoting food. Little information is available however, about the metabolic basis of nutritional values of proso millet. In this study, using a UHPLC-QqQ-MS/MS-based metabolomics approach, we compared the metabolomes of whole grains from four proso millet varieties with different bran color, namely White, Black, Gray and Red. In total, 672 metabolites were identified, among which 121, 116 and 148 metabolites showed differential accumulation in the three comparison groups (White vs. Black/Gray/Red). The results demonstrated the main pathways that were differentially activated included: tryptophan metabolism, flavonoid, isoflavonoid, flavone, and flavonol biosynthesis. Considerable difference between varieties was observed in accumulation of phenolic acids and flavonoids, which might lead to difference in antioxidant activities. The results of this study provide useful information for further investigation of proso millet food chemistry and for sufficient utilization of this special crop.