Proso millet starch (PMS) as an unconventional and underutilized millet starch is becoming increasingly popular worldwide due to its health-promoting properties. This review summarizes research progress in the isolation, characterization, modification, and applications of PMS. PMS can be isolated from proso millet grains by acidic, alkaline, or enzymatic extraction. PMS exhibits typical A-type polymorphic diffraction patterns and shows polygonal and spherical granular structures with a granule size of 0.3–17 µm. PMS is modified by chemical, physical, and biological methods. The native and modified PMS are analyzed for swelling power, solubility, pasting properties, thermal properties, retrogradation, freeze–thaw stability, and in vitro digestibility. The improved physicochemical, structural, and functional properties and digestibility of modified PMS are discussed in terms of their suitability for specific applications. The potential applications of native and modified PMS in food and nonfood products are presented. Future prospects for research and commercial use of PMS in the food industry are also highlighted.