Adlay (Coix lacryma-jobi L.), a crop closed related to maize (Zea mays L.) and sorghum (Sorghum bicolor L.), originated in tropical/subtropical regions of Asia and Africa; southwest China primary center of this plant’s origin, evolution and migration. Adlay is a traditional high-value minor crop used for both medicinal and dietary purposes. Adlay has anti-tumor, anti-bacterial, anti-inflammatory, analgesic, blood sugar-lowering, and blood lipid-lowering effects. To clarify the main bioactive components and phytochemical compounds and to fully explore their utility, this review summarizes the research done on the main functional ingredients of adlay, including amino acids and proteins, oils, vitamins and minerals, polysaccharides, and polyphenols. This study also highlighted the application of genome sequencing to tailor nutrient-rich adlay cultivars and nutraceutical product development. Additionally, the acquisition of high-density genomic data combined with next-generation phenotypic analysis will undoubtedly improve our understanding of the potential genetic regulation of adlay nutraceutical traits. This review provides new insights and ideas for the research of adlay in comparison and evolutionary genomics, and a useful reference for molecular breeding and genetic improvement of this important minor crop.