Inflammation is an important biological response to any tissue injury. The immune system responds to any stimulus, such as irritation, damage, or infection, by releasing pro-inflammatory cytokines. The overproduction of pro-inflammatory cytokines can lead to several diseases, e.g., cardiovascular diseases, joint disorders, cancer, and allergies. Emerging science suggests that whole grains may lower the markers of inflammation. Whole grains are a significant source of dietary fiber and phenolic acids, which have an inverse association with the risk of inflammation. Both cereals and pseudo-cereals are rich in dietary fiber, e.g., arabinoxylan and β-glucan, and phenolic acids, e.g., hydroxycinnamic acids and hydroxybenzoic acids, which are predominantly present in the bran layer. However, the biological mechanisms underlying the widely reported association between whole grain consumption and a lower risk of disease are not fully understood. The modulatory effects of whole grains on inflammation are likely to be influenced by several mechanisms including the effect of dietary fiber and phenolic acids. While some of these effects are direct, others involve the gut microbiota, which transforms important bioactive substances into more beneficial metabolites that modulate the inflammatory signaling pathways. Therefore, the purpose of this review is twofold: first, it discusses whole grain dietary fiber and phenolic acids and highlights their potential; second, it examines the health benefits of these components and their impacts on subclinical inflammation markers, including the role of the gut microbiota. Overall, while there is promising evidence for the anti-inflammatory properties of whole grains, further research is needed to understand their effects fully.