Coloured (black, purple, blue, red, etc.) cereal grains, rich in anthocyanins, have recently gained a lot of attention in the food industry. Anthocyanins are water-soluble flavonoids, and are responsible for red, violet, and blue colours in fruits, vegetables, and grains. Anthocyanins have demonstrated antioxidant potential in both in vitro and in vivo studies, and the consumption of foods high in anthocyanins has been linked to lower risks of chronic diseases. As such, whole grain functional foods made with coloured grains are promising new products. This paper will review the characteristics of cereal anthocyanins, and assess their prevalence in various commercially relevant crops including wheat, barley, maize, and rice. A brief overview of the antioxidant potential, and current research on the health effects of cereal-based anthocyanins will be provided. Finally, processing of coloured cereals in whole grain products will be briefly discussed. A full understanding of the fate of anthocyanins in whole grain products, and more research targeted towards health outcomes of anthocyanin supplementation to/inclusion in cereal food products are the next logical steps in this research field.