Proso millet (Panicum miliaceum) is neglected in human nutrition. Thanks to the composition of the grains, millet is suitable for people with celiac disease and it is also useful in the prevention of cardiovascular diseases. For screening the substances in all plant parts of millet via GC–MS, two varieties, Hanacká Mana and Unicum, were used. Substances from the group saccharides, amino acids, fatty acids, carboxylic acids, phytosterols and others were identified in the roots, leaves, stems, and seeds. The highest level of saccharides was found in the stems (83%); amino acids in the roots (6.9%); fatty acids in the seeds (24.6%); carboxylic acids in the roots (3%), phytosterols in the seeds (10.51%); other substances, such as tetramethyl-2-hexadecenol (1.84%) and tocopherols (2.15%), in the leaves; retinal in the roots (1.30%) and squalene in the seeds (1.29%). Saccharides were the dominant group in all plant parts of proso millet followed by fatty acids. The dominant saccharides in all parts of the millet plant were sucrose, fructose and psicose. On the contrary, turanose, trehalose, glucose and cellobiose belonged to the least represented sugars. Additionally, amyrin, miliacin, campesterol, stigmasterol, β-sitosterol, and others were identified. Varietal variability can be assumed, e.g., in retinal, miliacin or amyrin content.