"Millet" is not one flour any more than "wheat" is one wheat. These three behave nothing alike, and starting with the wrong one puts people off millets for years.
Jowar (sorghum) — start here
The mildest of the three. Chalk-white, very fine, almost neutral in flavour. If you have never cooked a gluten-free flour, jowar is the gentlest introduction because it tastes closest to nothing in particular.
Traditionally rolled into bhakri rather than roti. Without gluten there is nothing holding the dough together, so it is patted out by hand rather than rolled thin.
Bajra (pearl millet) — winter food
Assertive, earthy, slightly grey-green. In Rajasthan and Gujarat it is eaten hard through the cold months and barely at all in summer, which tells you something about how it sits.
Bajra is comparatively high in fat, which is why it turns bitter faster than any other flour in a normal kitchen. Buy it in small quantities. Shop-bought bajra atta is frequently past its best before you open it.
Ragi (finger millet) — the deep one
Rust-brown, mineral, distinctly its own thing. Used for mudde in Karnataka, for porridge across the south, and very widely as a first food for babies.
Ragi is the one people either love immediately or need a few attempts with. Mixing it half-and-half with wheat for the first month is a reasonable way in.
Three practical rules
- Hot water helps. Millet doughs are far easier to handle when made with hot water. This is not optional for jowar.
- Work in small batches. Millet dough dries out fast. Make what you will cook in the next twenty minutes.
- Buy small, buy often. Millet flours have a shorter usable life than wheat — closer to three or four weeks.
If you are buying millet atta online, that last point is the one that matters most. A large sack is a false economy with these three.