(1) Background: This study investigated changes in bioactive components and volatile compounds (VCs) during the production of red millet by comparing two varieties: Miao Xiang glutinous millet (waxy) and Jigu-42 (non-waxy). The samples were solid-state-fermented with “Red Ferment” and evaluated for bioactive components. (2) Methods: Multiple analytical methods—including principal component analysis (PCA), partial least squares-discriminant analysis (PLS-DA) and orthogonal PLS-DA (OPLS-DA), cluster analysis, and correlation analysis—were employed to systematically compare bioactive components and VCs. (3) Results: Significant varietal differences were observed: (1) Miao Xiang glutinous millet showed higher monacolin K (MK) and fatty acid contents; (2) Jigu-42 contained significantly more polyphenols; (3) linoleic acid dominated the fatty acid profiles of two varieties; and (4) a total of twenty-seven VCs were identified, including six alcohols, four aldehydes, seven ketones (corrected from duplicated count), two aromatic hydrocarbons, three heterocycles, one acid, three furans, and one ether. (4) Conclusions: The two varieties exhibited significant differences in MK, pigment profiles, fatty acid composition, polyphenol content, and volatile-compound profiles. These findings provide scientific guidance for the selection of the appropriate millet varieties in functional food production.