McMillen attended Yale University School of Architecture in 1940 and received a Bachelor of Fine Arts degree.
From 1942-1945, he served as lieutenant in the United States Navy during World War II.
Following his discharge from the military, he was employed by an architectural firm Brown, Lawford + Forbes for only 5 months, and later in that same year he joined several of his Yale and Harvard classmates to form TAC with Gropius.
From birth until age 8, McMillen lived in Brazil then moved to New York City where his mother—Drury McMillen—founded an interior design firm that continues to operate today.
In 1937 he bought a Ford Model A Special from his friend Frank Griswold and began competing in events in the Automobile Racing Club of America.