Aohan millet has been cultivated for 8000 years and has rich nutritional value, such as high‐quality fatty acids and amino acids. Thermal processing is a conventional approach to food preparation. However, the effect of thermal processing on the formation of flavor substances in millet has not been clarified. Therefore, in this study, the effects of three different thermal processing techniques, namely, steaming, stir‐frying, and puffing, on the amino acids, fatty acids, and volatile flavor substances of Aohan millet were investigated using high‐speed automatic amino acid analyzer, headspace solid‐phase microextraction method, combined with gas chromatography–mass spectrometry (HS‐SPME/GC–MS) and gas chromatography (GC) with Aohan millet from Inner Mongolia as the raw material. All three thermal processing methods notably reduced the levels of protein, starch, polyphenols, and flavonoids in Aohan millet when compared to the raw millet (p < .05). Amino acid and fatty acid contents demonstrated an increase in fried and puffed millet relative to steamed millet, with notable distinctions in amino acid and fatty acid contents between these two groups. Following the steaming process, there was a significant increase in the flavor compounds of Aohan millet, rising from 53 to 80, while this increase was not observed in the other two groups. The correlation analysis suggested that the formation of flavor compounds was predominantly influenced by the types and levels of amino acids. The study suggested that different heat treatments affected the amino acid, fatty acid, and more significantly flavor material content and composition of Aohan millet. In conclusion, steaming treatment could retain more nutrients and richer flavor substances; while puffing treatment would enhance amino acid and fatty acid content, which provides a fundamental basis for scientifically guided processing and rational culinary application of Aohan millet.