Proximate compositions, color values, total yellow pigment contents, amino acids, fatty acids, mineral elements compositions, and aroma compounds of four foxtail millet varieties, namely Jigu 42, Henggu13, Henglvgu1, and Heinuogu, were evaluated. There were significant differences among the four foxtail millet varieties(p < 0.05). A total of 62 volatile compounds were quantitatively determined by combination of simultaneous distillation extraction (SDE) and gas chromatography mass spectrometry (GC-MS). The main flavor components contained 18 aldehydes, six alcohols, nine ketones, five acids, 10 hydrocarbons, 10 benzene derivatives, and four other components. Among 30 odor characteristics described compounds, the odor activity value (OAV) of 18 compounds was greater than 1, including nonanal, (Z)-2-nonenal, (E,E)-2,4-nonadienal, naphthalene dibutyl phthalate, and others. Partial least squares discriminant analysis (PLS-DA) showed that minerals and aroma compounds with variable importance in projection (VIP) greater than 1 were the markers that distinguished the difference of foxtail millet varieties.