Chronic undernourishment affects billions of people. The development of whole-grain food with high nutritional quality may provide a valuable solution to nutritional security. Black-grained wheat (BGW), as a rich source of protein and micronutrients, is a good raw material for value-added products. The objectives of this study were to investigate the effects of barrel temperature, feed moisture content, and feed rate on the physical properties and nutritional components of whole BGW flour extrudates and to optimise their processing conditions by using the response surface methodology. The increasing barrel temperature, feed moisture content, and feed rate affected the specific volume, expansion ratio, hardness, fracturability, water absorption index (WAI), water solubility index (WSI), and total starch content of the extrudates, but did not significantly affect the content of protein, ash, iron (Fe), zinc (Zn), copper (Cu), and manganese (Mn). The extruded wheat flour had a significantly higher content of Fe and Cu, and a lower total starch content than the unextruded flour under extrusion conditions. A significantly higher content of protein, ash, Zn, Cu, and Mn, and a significantly lower total starch content were found in the extruded and unextruded flours made of whole BGW than in those made of whole white-grained wheat. According to the significance of the regression coefficients of the quadratic polynomial model, the optimum extrusion parameters were as follows: a barrel temperature of 145.63 °C, feed moisture content of 19.56%, and feed rate of 40.64 g·min−1 in terms of the maximum specific volume, expansion ratio, fracturability, WAI and WSI, and the minimum hardness. These results may be used by food manufacturers to successfully develop extruded products from whole BGW flour, meeting consumer demands and needs.