He was awaiting confirmation as United States Secretary of the Navy in 2003 when he died from an apparently self-inflicted gunshot wound in the head at his New Mexico ranch.

[1][2] McMillan was the chairman and CEO of Permian Exploration Corporation, an oil exploration company, the chairman of the First Federal Savings Bank in Roswell, New Mexico, and the founder and CEO of McMillan Production Company.

He was appointed in 2001 to be the chairman of the Sallie Mae Corporation by President George W. Bush.

McMillan earned his bachelor's degree in geology from the University of North Carolina in 1957.

He ran for the United States Senate seat in New Mexico in 1994 but lost to incumbent Democrat Jeff Bingaman by a 54% to 46% margin.