The auxin response factor (ARF) is the key component of phytohormone auxin signal pathway and is crucial in regulating a plurality of functions throughout the plant life cycle. Although ARFs’ structure and function have been well studied in Arabidopsis, such knowledge is far from being sufficient for cereal crops, especially wheat, rice, and maize. This review is based on a comprehensive retrospection into the studies on ARFs in the three cereal crops, consisting of four parts: (1) characterization of the domains of 23, 25, and 33 ARF family members in wheat, rice, and maize, respectively; (2) revision of nomenclatures for previously reported ARFs to the family numbers based on sequence alignment, and summary of ARFs’ functions including the regulation of agronomic traits and response to biotic/abiotic stresses; (3) highlight of general regulatory models for fundamental physiological and reproductive traits from miRNA-ARFs, IAA-ARF-LBD, IAA-ARF-Auxin response gene, and IAA-ARF-ERF (4) prospects to promising future ARF research for anticipated agronomic traits. This review is expected to enhance understanding of ARF functions in the three cereal crops and promote their application in molecular breeding to achieve optimal plant architecture, higher yield, and wider adaptability.