McMillen was a native of Chicago who studied at the School of the Art Institute in that city[1] from 1906 until 1913.
There, she and her long-time companion Ada Gilmore first met.
[2] She and Gilmore spent time in France, studying with Ethel Mars and later at the Académie Colarossi, before the outbreak of World War I drove them back to the United States.
[1] Notably, her prints are large in scale and black and white, unusual for members of the group.
[5] Several works by McMillen are owned by the Smithsonian American Art Museum,[6] and she is represented as well in the collection of the National Gallery of Canada.