Millets are small-seeded annual cereal crops which are mostly grown in marginal soils of arid and semi-arid regions, and consequently have to face several abiotic constraints that lead to reduction in the yield. Advanced biotechnological applications, particularly 'omics' approaches could serve as the most immediate and prospective strategies for improving abiotic stress tolerance in millet crops. Omics approaches lead to understand the mechanism of stress response and tolerance at molecular level through insights into gene, protein or metabolite profile and their phenotypic effects. Among millet crops, foxtail millet has been more intensively studied and characterized under abiotic stress conditions owing to its small genome size and diploidy. Genome-wide investigation and expression profiling studies have been extensively carried out in foxtail millet. However proteomic and metabolomic studies in response to abiotic stress in millets are still very limited. Some of the major quantitative trait loci (QTLs) controlling abiotic stress tolerance in millets have also been identified and mapped as for instance a major QTL for terminal drought tolerance in pearl millet and a major QTL for dehydration tolerance in foxtail millet. Gene manipulation for enhanced abiotic stress tolerance involving regulatory genes have proved to be more useful than using single or multiple stress responsive genes. Consequently, the recent advances in 'omics' technologies and accessibility to the genome sequences extend huge potential to enhance stress tolerance of millets. This review thus attempts to summarize various omics strategies and their applications in abiotic stress research in important millet crops namely foxtail millet, pearl millet and finger millet.