Small millets are nutrient-rich food sources traditionally grown and consumed by subsistence farmers in Asia and Africa. They include finger millet (Eleusine coracana), foxtail millet (Setaria italica), kodo millet (Paspalum scrobiculatum), proso millet (Panicum miliaceum), barnyard millet (Echinochloa spp.), and little millet (Panicum sumatrense). Local farmers value the small millets for their nutritional and health benefits, tolerance to extreme stress including drought, and ability to grow under low nutrient input conditions, ideal in an era of climate change and steadily depleting natural resources. Little scientific attention has been paid to these crops, hence they have been termed “orphan cereals.” Despite this challenge, an advantageous quality of the small millets is that they continue to be grown in remote regions of the world which has preserved their biodiversity, providing breeders with unique alleles for crop improvement. The purpose of this review, first, is to highlight the diverse traits of each small millet species that are valued by farmers and consumers which hold potential for selection, improvement or mechanistic study. For each species, the germplasm, genetic and genomic resources available will then be described as potential tools to exploit this biodiversity. The review will conclude with noting current trends and gaps in the literature and make recommendations on how to better preserve and utilize diversity within these species to accelerate a New Green Revolution for subsistence farmers in Asia and Africa.