Heat shock proteins (HSPs) perform significant roles in conferring abiotic stress tolerance to crop plants. In view of this, HSPs and their encoding genes were extensively characterized in several plant species; however, understanding their structure, organization, evolution and expression profiling in a naturally stress tolerant crop is necessary to delineate their precise roles in stress-responsive molecular machinery. In this context, the present study has been performed in C4 panicoid model, foxtail millet, which resulted in identification of 20, 9, 27, 20 and 37 genes belonging to SiHSP100, SiHSP90, SiHSP70, SiHSP60 and SisHSP families, respectively. Comprehensive in silico characterization of these genes followed by their expression profiling in response to dehydration, heat, salinity and cold stresses in foxtail millet cultivars contrastingly differing in stress tolerance revealed significant upregulation of several genes in tolerant cultivar. SisHSP-27 showed substantial higher expression in response to heat stress in tolerant cultivar, and its over-expression in yeast system conferred tolerance to several abiotic stresses. Methylation analysis of SiHSP genes suggested that, in susceptible cultivar, higher levels of methylation might be the reason for reduced expression of these genes during stress. Altogether, the study provides novel clues on the role of HSPs in conferring stress tolerance.