The influence of heat treatment (65°C and 100°C) on the activities of potential anti-inflammatory peptides obtained from a millet protein fraction was investigated. The molecular mass of proteins was found to be in the range of 6.5–100 kDa. The protein fractions were in vitro hydrolyzed in gastrointestinal-like conditions. The highest peptide content was noted for albumin in the control sample (2.03 mg/mL). The peptide fraction obtained from globulin 7S derived from grains heated at 65°C was characterized by the highest COX-1 and COX-2 inhibitory activity (IC50 = 0.08 and 0.12 mg/mL, respectively). The peptide fraction obtained from the prolamin treatment at 100°C exhibited the highest LOX inhibitory activity (IC50 = 0.14 mg/mL). Peptides from the prolamin treatment at 65°C were characterized by the highest pancreatic lipase inhibitory activity (IC50 = 0.03 mg/mL). Peptide fractions with highest anti-inflammatory activity were rich in Gly.