 McMillian holds a BA in Foreign Affairs from the University of Virginia.He studied art at the School of the Art Institute of Chicago and the Skowhegan School of Painting and Sculpture, and received a Master of Fine Arts degree from the California Institute of the Arts in 2002.McMillian’s work has been exhibited at the UCLA Hammer Museum and the Museum of Contemporary Art, Los Angeles, the Studio Museum in Harlem New York, the Herning Art Museum in Denmark, the Royal Academy in London, Boston's Institute of Contemporary Art and the Whitney.