Abstract Proso millet starch was modified by heat–moisture treatment (HMT), autoclaving treatment (AT), and microwave treatment (MT). The effects of these treatments on the starch physicochemical, structural, and molecular properties were investigated. The amylose and resistant starch contents were increased by AT and MT, but only slightly by HMT. HMT and AT significantly increased the water‐holding capacity, to 172.66% and 191.63%, respectively. X‐ray diffractometry showed that the relative crystallinity of the HMT sample decreased by 20.88%, and the crystalline peaks disappeared from the AT and MT sample patterns. The thermal treatments decreased the proso millet starch molecular weight to 1.769 × 106, 7.886 × 105, and 3.411 × 104 g/mol, respectively. The thermal enthalpy decreased significantly in HMT. Modification significantly changed the pasting profiles of the native proso millet starch, and the peak viscosity, setback, and breakdown values decreased. These results clarify the mechanism of starch changes caused by thermal treatment.