This study investigated the functional, physicochemical, and structural characteristics of foxtail millet bran powder with different particle sizes. The morphological analysis revealed that the surface roughness declined in conjunction with the particle sizes of the millet bran powder. The Fourier-transform infrared (FTIR) spectra showed that none of the samples generated any additional chemical functional groups. A decrease in the particle sizes of the millet bran powder increased their dissemination and surface areas, as well as the bulk density, tap density, water-holding capacity (WHC), angle of repose (θ) and angle of slide (α), and peak temperature, while the oil holding capacity (OHC) and crystallinity index (CI) value declined. Moreover, fine millet bran powder (54.7 μm) exhibited a higher protein, fat, soluble dietary fiber (SDF), total phenolic content, and antioxidant capacity than its coarse counterpart.