Millets are climate-resilient, nutritionally rich cereal crops that play a critical role in food and nutritional security across arid and semi-arid regions. Despite their inherent tolerance to harsh environments, millet productivity is increasingly challenged by combined biotic and abiotic stresses, including drought, heat, salinity, and emerging diseases. Transcription factors are central regulators of plant stress responses, and among them, WRKY transcription factors constitute one of the largest and most plant-specific families, coordinating defense and stress-adaptive pathways. WRKY transcription factors are characterized by a conserved WRKY domain and zinc finger motif that enable binding to W-box cis-elements in target gene promoters, thereby regulating stress-responsive gene expression. This review synthesizes current knowledge on the structure, classification, and functional roles of WRKY transcription factors in major millet crops, including pearl millet, finger millet, foxtail millet, and related species. We summarize recent advances in millet genomic and transcriptomic resources that have facilitated genome-wide identification of WRKY gene families and their stress-responsive expression patterns. Particular emphasis is placed on WRKY-mediated regulation of disease resistance, abiotic stress tolerance, and hormonal crosstalk involving salicylic acid, jasmonic acid, ethylene, and abscisic acid signaling. Emerging evidence highlights WRKYs as central regulatory hubs that integrate biotic and abiotic stress signals via MAPK cascades, transcription factor networks, and redox signaling. Finally, the potential of WRKY transcription factors to improve millet through molecular breeding, genome editing, and marker-assisted selection is discussed, along with key challenges and future research directions.