Pigments are essential to the life of all living organisms. Animals and plants have been the subjects of basic and applied research with the aim of determining the basis of the accumulation and physiological roles of pigments. In crop species, the edible organs show large variations in colour. In durum wheat grain, which is a staple food for humans, the colour is mainly due to two natural classes of pigment: carotenoids and anthocyanins. The carotenoids provide the yellow pigmentation of the durum wheat endosperm, and consequently of the semolina, which has important implications for the marketing of end products based on durum wheat. Anthocyanins accumulate in the aleurone or pericarp of durum wheat and provide the blue, purple and red colours of the grain. Both the carotenoids and the anthocyanins are known to provide benefits for human health, in terms of decreased risks of certain diseases. Therefore, accumulation of these pigments in the grain represents an important trait in breeding programs aimed at improving the nutritional value of durum wheat grain and its end products. This review focuses on the biochemical and genetic bases of pigment accumulation in durum wheat grain, and on the breeding strategies aimed at modifying grain colour.