Soluble and insoluble-bound phenolic extracts of several varieties of millet (kodo, finger, foxtail, proso, pearl, and little millets) whole grains were evaluated for their phenolic contents and antioxidative efficacy using trolox equivalent antioxidant capacity (TEAC), reducing power (RP), and beta-carotene-linoleate model system as well as ferrous chelating activity. In addition, ferulic and p-coumaric acids were present in soluble and bound phenolic fractions of millets, and their contents were determined using high-performance liquid chromatography (HPLC) and HPLC-mass spectrometry (MS). Kodo millet had the highest total phenolic content, whereas proso millet possessed the least. All millet varieties showed high antioxidant activities, although the order of their efficacy was assay dependent. HPLC analysis of millet phenolic extracts demonstrated that the bound fractions contained more ferulic and p-coumaric acids compared to their soluble counterparts. The results of this study showed that soluble as well as bound fractions of millet grains are rich sources of phenolic compounds with antioxidant, metal chelating, and reducing power. The potential of whole millets as natural sources of antioxidants depends on the variety used. The importance of the insoluble bound fraction of millet as a source of ferulic acid and p-coumaric acid was established, and their contribution to the total phenolic content must be taken into account in the assessment of the antioxidant activity of millets.