Pearl millet (Pennisetum glaucum) is one of the most promising but underutilised crops in sub-Saharan Africa. Here, we evaluated the use of extrusion cooking of wholegrain pearl millet related to the formation of amylose–lipid complexes (ALCs) and their potential effect on slowing starch digestion. Thermal properties (differential scanning calorimetry), fatty acid (FA) profiles (derivatization followed by gas chromatography), ALC dissociation (hexane extraction followed by derivatization and gas chromatography) and in vitro starch digestibility (α-amylase digestion assay) were determined for wholegrain and decorticated pearl millet flours in both native and extruded states. Extrusion cooking melted stable type II complexes naturally present in native flours into type I complexes characterised by a melting endotherm in the 82–112 °C range. Extrusion caused the formation of ALC-containing mono- and polyunsaturated fatty acids, which were not found in native flours. Extruded instant flours exhibited a moderated release of reducing sugars compared to cooked native samples and the effect was more pronounced in the wholegrain flour. This effect was lost when the extruded samples were cooked, though instant flours would retain the effect if rehydrated with warm rather than boiling hot water. When extruded, wholegrain millet had some enhancement of a slow digestion effect.