[14] His successes on the competition circuit, along with winning Young Concert Artists status at the 1997 YCA auditions,[15] led to his New York City recital debut at the 92nd Street Y in 1997, and his undertaking studies at the Juilliard School with Dorothy DeLay.

[14][16] In 2006 he joined the faculty of the University of Illinois, where he is an associate professor in the Instrumental Performance Division of the School of Music.

[18] Milenkovich has performed extensively as a solo artist, in duets, in a wide variety of other small groups, and as a soloist with orchestra.

For example, he recently performed Bach, Paganini, Ysaye and Kreisler solo works at the Hermitage of Santa Caterina del Sasso.

[19] He has recorded the Bach solo violin Sonatas and Partitas[20] and the complete solo violin music of Niccolò Paganini[21] The 92nd Street Y recital in 1997 was one event in a long-running collaboration with pianist Rohan de Silva, for example, a 1999 concert at the Kennedy Center[5][22] and three concerts in Sri Lanka.

[35] Milenkovich played lead violin at a concert[36] in the 2010 Naumburg Summer Concert Series, consisting of Bach's D minor keyboard concerto with pianist Stephen Beus, Mendelssohn's E-flat Major Octet, and a cello quintet by Friedrich Dotzauer with cellist David Requiro, a co-winner of the 2008 International Naumburg Competition.

[53] He most often uses “Berg” bows by bowmaker Michael Duff of Bloomington, Indiana[54] In 2021 he was awarded the Order of Karađorđe's Star.