The goal of this research was to use supercritical carbon dioxide (SC-CO2) drying as a novel approach to generate sorghum protein concentrates with enhanced functional characteristics. Sorghum protein concentrates were extracted from white whole-grain sorghum flour and dried in two ways: freeze-drying and SC-CO2 drying. The dried proteins were characterized for their volatile compound content, in vitro digestibility, and amino acid composition. A more porous structure was observed for the SC-CO2-dried sorghum proteins compared with their freeze-dried counterparts. In the SC-CO2-dried samples, the levels of alcohols, esters, and organic acids were significantly lower than those in the freeze-dried ones, whereas aldehydes were significantly higher. The SC-CO2-dried sorghum protein showed significantly higher digestibility (47.1%) compared to the freeze-dried sorghum proteins (33.7%) upon simulated sequential oral, gastric, and intestinal digestion. The amino acid compositions of the SC-CO2- and freeze-dried sorghum proteins were similar. Moreover, the protein-digestibility corrected amino acid score (PDCAAS) values of freeze-dried and SC-CO2-dried sorghum proteins differed significantly, with SC-CO2-dried proteins having a higher value, considering lysine as the limiting amino acid. The developed SC-CO2 drying approach possesses the potential to generate sorghum protein concentrates with an enhanced volatile profile and digestibility.