The frequency of drought will increase under further warming. The increase in atmospheric CO2 concentration, along with more frequent drought, will affect crop growth. We examined the changes of cell structure, photosynthetic physiology, antioxidant enzymes, osmotic regulatory substances, and yield of foxtail millet (Setaria ita-lica) leaves under different CO2 concentrations (ambient air CO2 concentration and ambient atmospheric CO2 concentration + 200 μmol·mol-1) and water treatment (soil moisture content maintained at 45%-55%, and 70%-80% of field capacity, representing mild drought and normal water condition, respectively). The results showed that elevated CO2 concentration increased the number of starch grains, the area of single starch grains, and the total area of starch grains in the chloroplast of millet mesophyll cells. Under mild drought condition, elevated CO2 concentration increased net photosynthetic rate of millet leaves at the booting stage by 37.9%, but did not affect water use efficiency at this stage. Elevated CO2 concentration increased net photosynthetic rate and water use efficiency of millet leaves under mild drought condition at the filling stage by 15.0% and 44.2%, respectively. Under mild drought condition, elevated CO2 concentration increased the content of peroxidase (POD) and soluble sugar in millet leaves at the booting stage by 39.3% and 8.0%, respectively, but decreased proline content by 31.5%. It increased the content of POD in millet leaves at the filling stage by 26.5% but decreased the content of MDA and proline by 37.2% and 39.3%, respectively. Under mild drought condition, elevated CO2 concentration significantly increased the number of grain spikes by 44.7% and yield by 52.3% in both years compared with normal water condition. The effect of elevated CO2 concentration on grain yield under mild drought conditions was higher than that under normal water condition. Under mild drought conditions, elevated CO2 concentration increased leaf thickness, vascular bundle sheath cross-sectional area, net photosynthetic rate, and water use efficiency of millet, improved the antioxidant oxidase activity, and changed the concentration of osmotic regulatory substances, alleviated the nega-tive effect of drought on foxtail millet, and finally increased the number of grains per ear and yield of foxtail millet. This study would provide a theoretical basis for millet production and sustainable agricultural development in arid areas under future climate change.