Phenolic antioxidants are phytochemical components in wheat grains that provide a variety of potential health benefits. Colored wheat (black, blue, purple) has attracted increasing attention due to its high nutrient density. Here, the metabolites and antioxidant activity of fresh, mature, and heat-treated, wheat grains with black, blue, purple, and white grain coats were identified by targeted and non-targeted metabolomics. Higher total phenolic (TPC) and flavonoid contents (TFC) and antioxidant activity (AOA) were in the order of black > purple > blue > white. Rutin, pelargonidin 3-O-glucoside chloride, peonidin chloride, and diosmetin are the main flavonoids in black and purple wheat, while taxifolin, luteolin, cynaroside are the main flavonoids in blue wheat. In most cases, TPC, TFC, and AOA had the greatest values in fresh grains and the lowest values in mature grains. Using non-targeted metabolomics, a total of 866 metabolites were identified in the tested fresh wheat grains, 105 flavonoids and 39 phenolic acids. In total, the relative abundance of flavonoids in purple and black wheat was higher than in blue wheat, indicating a higher nutritional value of fresh black and purple grains. After heat processing, most of the metabolites were down-regulated in heat-treated purple grain, whereas heat treatment significantly increased the content of peonidin-3-O-glucoside chloride (2.27-fold) and cymaroside (12.01-fold). This study clarifies that seed coat color and processing treatments impact the metabolite contents and antioxidant activity of wheat grains, providing valuable information for improving the nutritional quality of foods during processing.