Thermal treatment can be applied to cereal grains as a pretreatment or processing step in the form of either hydrothermal or dry thermal treatment. These heat treatments result in the occurrence of nonenzymatic browning reactions by means of the Maillard reaction and caramelisation. Nonenzymatic browning is influenced by the type and concentration of sugars and proteins, and the presence of bran. Aside from increasing nonenzymatic browning, thermal treatment increases the antioxidant capacity of cereals and baked goods through the release of bound phenolics. The degree of nonenzymatic browning and antioxidant content in cereal-based products depend on the thermal treatment intensity. Some studies found a decrease in total phenolic content after thermal treatment, due to loss of thermally labile compounds. High-intensity treatment has been shown to produce 5-hydroxymethylfurfural (HMF), furfural, and potentially carcinogenic acrylamide. Acrylamide formation can be mitigated by altering the ingredient composition and the degree of thermal treatment. This review discusses the chemistry of nonenzymatic browning reactions, factors influencing the degree of these reactions, and mitigation strategies for acrylamide. An overview of the effect of dry thermal treatment on nonenzymatic browning and antioxidants in wheat and wheat-based products as well as other cereals is provided. Before concluding with perspectives, a discussion of the relationship between nonenzymatic browning and antioxidant properties is presented. This review of the published literature was conducted using two electronic databases and varying combinations of search terms related to the scope of the review.