Foxtail millet (Setaria italica [L.] P. Beauv.) is a climate-change-ready crop, and it is crucial for predicting the impact of ecological factors on grain quality. In this study, multivariate statistical analysis was used to explore the relationship between ecological factors and the key nutritional quality of Jingu 21 from twelve production areas. The results showed that the crude fat and amylopectin content of foxtail millets showed a downward trend from south to north. The nutritional quality was significantly affected by geographical, climatic, and soil factors, and the foxtail millet produced in geographically close areas was extremely similar in nutritional quality. Most nutritional quality indicators of Jingu 21 had a strong correlation with the latitude and climatic factors such as average temperature, diurnal temperature range, and average precipitation, while the content of mineral elements was greatly affected by soil factors. Moreover, higher average precipitation in the jointing, booting–heading, and heading stages, a higher average temperature, and a lower diurnal temperature range in the heading and grain-filling stages are conducive to the establishment of nutritional quality. The findings could facilitate the rational distribution of high-quality foxtail millets under global climate change.