This study investigated insect pest infestation of maize, millet, sorghum, rice and wheat grains traded in the three main markets namely Monday, Baga-Road and Custom-Park markets in Maiduguri, Borno state, Nigeria. Sampling lasted from January to June 2012. Samples per grain type, each weighing one kilogram, were obtained every two weeks from ten randomly selected traders per market. Each sample was sieved in the laboratory to recover all adult insects present, both at sampling and also after one month stay (laid out in a completely randomized design). In each market, Sitophilus zeamais Motschulsky and Rhyzopertha dominica (F.) followed by Tribolium castaneum Herbst, Sitophilus oryzae (Linnaeus), Trogoderma granarium (Everts) or Cryptolestes sp. were the insect pests commonly found attacking more (between two to five) grain types. Observed highest and lowest mean insect numbers were respectively by S. zeamais in maize grains (12.13 individuals in Monday market) and T. granarium in wheat grains (0.13 individuals in Baga-Road market). Results unveil that among three markets, higher mean total numbers of insects were present in maize, rice or wheat (18-33). For all grain types, the mean numbers of damaged grains were significantly higher in Monday (53-357) and Custom-Park (46-302) than in Baga-Road (17-109) markets. Furthermore, the mean total number of damaged grains across markets was significantly higher maize, followed by rice and wheat (55-231) than in other grain types (37-41). The implications of all these results on insect infestation of different cereal grain types sold in these markets are discussed.