Low concentration or deficiencies of bioavailable micronutrients in staple food result in micronutrient malnutrition. The understanding of the genetic basis for micronutrient concentration in wheat grain can provide useful information for wheat biofortification breeding by marker-assisted selection (MAS). In the present study, grain zinc (Zn), iron (Fe) and protein concentrations were analyzed in a recombinant inbred line (RIL) population under two environments to detect quantitative trait loci (QTLs) and their interactions. Nine additive and four epistatic QTLs were identified, among which six and four, respectively, were effective at the two environments. Three intervals that affected two or three traits were found on chromosomes 4B and 5A, which indicated a common genetic basis among grain Zn, Fe and protein concentrations. Multi-trait composite interval mapping analysis detected five intervals that influenced more than one trait, among which three were identified at both the environments and two could affect all of the three traits. The interval on chromosome 5A for grain Fe and protein concentrations was co-located with QTLs controlling the same traits in a previous study, both near the marker Xgwm154. The molecular markers closely linked to the QTLs, e.g., Xgwm154, may be useful in wheat biofortification breeding by MAS. The interval Xcfd21641-NP21.1 on chromosome 6A which was effective for all the three traits may be an ortholog of Gpc-B1.