Foxtail millet (Setaria italica (L.) P. Beauv.) is an important traditional cereal crop in dryland ecological agriculture in China and is widely grown in India, the United States, and Nigeria. It is of significance to understand the variety–location–fertilizer (V–L–F) interaction for highly efficient production. Therefore, a two-year field experiment was conducted with six varieties in five locations, and data were analyzed by combined ANOVA analysis, redundancy analysis (RDA), and additive main multiplicative interaction (AMMI). The results showed that the mean sum of squares was significantly different among years, locations, varieties, fertilizations, and their interactions, except for Y–V and V–F interactions. The contributions of various factors to yield variation varied, location was the largest contributor (38.7%), followed by year (33.6%), and variety and fertilizer contributed 7.1% and 3.2%, respectively. JI25 was widely adapted, and its yield was stable and higher than that of others over diverse environments in two years. The RDA results showed that two principal components explained more than 66.1% of the yield variance, while more than 63.0% of the variances were clustered in the first factor. Excessive single rainfall or total rainfall and air temperature (especially minimum temperature) were significantly associated with the millet yield. The results offered an important reference for variety layout, natural resource potential mining, and formulation of efficient green cultural practices.