Mycotoxins are a potential health threat in cereals including wheat. In the European Union (EU), mycotoxin maximum levels are laid down for cereal raw materials and final food products. For wheat and wheat-based products, the EU maximum levels apply to deoxynivalenol (DON), zearalenone, aflatoxins, and ochratoxin A. This review provides a comprehensive overview on the different mycotoxins and their legal limits and on how processing of wheat can affect such contaminants, from raw material to highly processed final products, based on relevant scientific studies published in the literature. The potential compliance with EU maximum levels is discussed. Of the four mycotoxins regulated in wheat-based foods in the EU, most data are available for DON, whereas aflatoxins were rarely studied in the processing of wheat. Furthermore, available data on the effect of processing are outlined for mycotoxins not regulated by EU law-including modified and emerging mycotoxins-and which cover DON derivatives (DON-3-glucoside, monoacetyl-DONs, norDONs, deepoxy-DON), nivalenol, T-2 and HT-2 toxins, enniatins, beauvericin, moniliformin, and fumonisins. The processing steps addressed in this review cover primary processing (premilling and milling operations) and secondary processing procedures (such as fermentation and thermal treatments). A special focus is on the production of baked goods, and processing factors for DON in wheat bread production were estimated. For wheat milling products derived from the endosperm and for white bread, compliance with legal requirements seems to be mostly achievable when applying good practices. In the case of wholemeal products, bran-enriched products, or high-cereal low-moisture bakery products, this appears to be challenging and improved technology and/or selection of high-quality raw materials would be required.