Heat treatment is used as a pre-processing step to beneficially change the starch properties of wheat flour to enhance its utilisation in the food industry. Heat-treated wheat flour may provide improved eating qualities in final wheat-based products since flour properties predominantly determine the texture and mouthfeel. Dry heat treatment of wheat kernels or milled wheat products involves heat transfer through means of air, a fluidising medium, or radiation—often resulting in moisture loss. Heat treatment leads to changes in the chemical, structural and functional properties of starch in wheat flour by inducing starch damage, altering its molecular order (which influences its crystallinity), pasting properties as well as its retrogradation and staling behaviour. Heat treatment also induces changes in gluten proteins, which may alter the rheological properties of wheat flour. Understanding the relationship between heat transfer, the thermal properties of wheat and the functionality of the resultant flour is of critical importance to obtain the desired extent of alteration of wheat starch properties and enhanced utilisation of the flour. This review paper introduces dry heat treatment methods followed by a critical review of the latest published research on heat-induced changes observed in wheat flour starch chemistry, structure and functionality.