(1) Background: Sorghum (Sorghum bicolor (L.) Moench) is a staple food cereal for most of the rural populations in sub-Saharan Africa. In Burkina Faso, a great diversity of sorghum cultivar is cultivated, but its nutritional potential still needs to be assessed. This study aims to characterize the physicochemical and nutritional profile of grains from 15 sorghum cultivars grown in Burkina Faso in order to identify the best ones for selection and breeding programs. (2) Methods: The physicochemical, nutritional, and antioxidant-activity characterizations of the grains were performed according to standard methods. (3) Results: The study shows significant differences between cultivars according to the physicochemical traits of the grains, such as 1000-grain weight, moisture, and germination rate. For nutritional parameters, the best contents of carbohydrates (79.36%), proteins (9.21%), and fats (4.40%) were recorded with cultivars V12, V8, and V11, respectively. The heavy grains are flouriest with high contents of carbohydrates with high ABTS antiradical activity. However, these grains have low contents of proteins and flavonoids. Those with high ash contents are the richest in amylose and phenolic compounds. Principal component analysis based on physicochemical and nutritional characteristics of sorghum grains identified four groups of varieties with specific characteristics. Group 1 (G1), which includes cultivars V1, V12, V13, V14, and V15, is characterized by a high weight of 1000 grains and mealy cultivars with relatively high total carbohydrate content and ABTS.+ antiradical activity. Group 2 (G2) includes cultivars V7, V9, and V11 and is characterized by cultivars with low 1000-grain weight, less floury but good germination rate, high protein, flavonoids, and relatively high antioxidant activity. Group 3 (G3) includes cultivars V3, V4, and V8 with relatively high ash, amylose, and polyphenol contents, while group 4 (G4), which includes cultivars V2 and V6, has high antioxidant activity and high fatty acid content. Conclusions: The study recorded a variation of physicochemical and nutritional characteristics of sorghum grain according to cultivars. The cultivars were divided into four groups. Among them, the group 1 cultivars have the best nutritional traits and could therefore be used in breeding and selection programs to improve the nutritional potential of sorghum.