In 1856, his father was assigned to the Methodist church in Abbey Street, Dublin, and McMillan began his formal education.

The following year, the family moved to Dún Laoghaire where his father was assigned to the Adelaide Road Methodist church, and McMillan continued attending Wesley.

Due to family financial difficulties at the time, McMillan had to abandon any intention to attend university in Dublin; rather, in 1864 he began studies at Tulse Hill School in London.

[4] In 1887, McMillan was elected as the member for East Sydney in the New South Wales Legislative Assembly for the Free Trade and Liberal Association, which he had helped found, and held it until shifting in 1894 to the seat of Burwood.

It was at this time that the governor of the New South Wales, the 7th Earl of Beauchamp, privately judged McMillan to be "dull, prosy, preachy and much too long".

[6] In 1901, he was elected to federal parliament as the first member for the seat of Wentworth, and became deputy leader of the Free Trade and Liberal party under George Reid.

In August 1903, McMillan acted as Leader of Opposition in the interregnum between Reid's contrived resignation from parliament and his subsequent (and inevitable) re-election at the 1903 East Sydney by-election.