Wheat is an important staple cereal for global food security. However, climate change is hampering wheat production due to abiotic stresses, such as heat, salinity, and drought. Besides shoot architectural traits, improving root system architecture (RSA) traits have the potential to improve yields under normal and stressed environments. RSA growth and development and other stress responses involve the expression of proteins encoded by the trait controlling gene/genes. Hence, mining the key proteins associated with abiotic stress responses and RSA is important for improving sustainable yields in wheat. Proteomic studies in wheat started in the early 21st century using the two-dimensional (2-DE) gel technique and have extensively improved over time with advancements in mass spectrometry. The availability of the wheat reference genome has allowed the exploration of proteomics to identify differentially expressed or abundant proteins (DEPs or DAPs) for abiotic stress tolerance and RSA improvement. Proteomics contributed significantly to identifying key proteins imparting abiotic stress tolerance, primarily related to photosynthesis, protein synthesis, carbon metabolism, redox homeostasis, defense response, energy metabolism and signal transduction. However, the use of proteomics to improve RSA traits in wheat is in its infancy. Proteins related to cell wall biogenesis, carbohydrate metabolism, brassinosteroid biosynthesis, and transportation are involved in the growth and development of several RSA traits. This review covers advances in quantification techniques of proteomics, progress in identifying DEPs and/or DAPs for heat, salinity, and drought stresses, and RSA traits, and the limitations and future directions for harnessing proteomics in wheat improvement.