Recognizing the significance of millets as Nutri-Cereals, India celebrated the National Year of Millets in 2018, and subsequently, as proposed by India, the FAO of the United Nations declared 2023 as the International Year of Millets (IYoM). Consequently, there has been an intensive drive, globally, to increase the production and popularise the consumption of whole as well as processed millets by creating an awareness about their significant health benefits and richness in nutritional elements. Besides food, millets play a role as feed and in industrial uses. In commensurate with anticipated higher production, storage and international trade of whole millets and their products, it is important to protect millets throughout the supply chain from stored grain insects, the predominant biotic agent responsible for their qualitative and quantitative losses. In this context, this review focusses on the type of insect infestation encountered in millets from field to consumer levels affecting their market value and causing consumer concern. Insect management techniques adopted by the stakeholders such as farmers, traders, and government grain storage agencies are discussed. Due to financial constraints, small holder farmers use traditional storages and insect management measures using locally available plant products. Like other cereals, fumigation with aluminium phosphide (phosphine) preparations has a major role in insect pest management in millets at various storage levels. Hermetic storage bags of different capacities are used in India and in other millet producing countries especially at farmers level as a valuable insect management tool for whole millets and seed materials. Powdered and processed millets have shorter shelf-life and are more vulnerable to insect attack during storage. Hence, there are studies to increase their shelf life and to check infestation by suitable packaging material. Alternate insect management techniques investigated include ozone treatment, protective packaging materials, screening and breeding of millet varieties that are resistant to grain insects National regulations pertinent to insect management in stored millets have also been discussed.