Recent advances in Setaria genomics appear promising for genetic improvement of cereals and biofuel crops towards providing multiple securities to the steadily increasing global population. The prominent attributes of foxtail millet (Setaria italica, cultivated) and green foxtail (S. viridis, wild) including small genome size, short life-cycle, in-breeding nature, genetic close-relatedness to several cereals, millets and bioenergy grasses, and potential abiotic stress tolerance have accentuated these two Setaria species as novel model system for studying C4 photosynthesis, stress biology and biofuel traits. Considering this, studies have been performed on structural and functional genomics of these plants to develop genetic and genomic resources, and to delineate the physiology and molecular biology of stress tolerance, for the improvement of millets, cereals and bioenergy grasses. The release of foxtail millet genome sequence has provided a new dimension to Setaria genomics, resulting in large-scale development of genetic and genomic tools, construction of informative databases, and genome-wide association and functional genomic studies. In this context, this review discusses the advancements made in Setaria genomics, which have generated a considerable knowledge that could be used for the improvement of millets, cereals and biofuel crops. Further, this review also shows the nutritional potential of foxtail millet in providing health benefits to global population and provides a preliminary information on introgressing the nutritional properties in graminaceous species through molecular breeding and transgene-based approaches.