McMillan grew up in the heart of North Carolina's basketball country and attended Raleigh's William G. Enloe High School, where he went unnoticed by major college scouts. After playing for two years at Chowan College (then a two-year school) in Murfreesboro, North Carolina, he returned to Raleigh to play for Jim Valvano at North Carolina State. McMillan helped lead NC State to a first-place tie in the Atlantic Coast Conference regular season in 1985, and to the Elite Eight in both the 1985 and 1986 NCAA Championship Tournaments, where the Wolfpack lost to St. John's and Kansas, respectively. During his time at NC State, McMillan played alongside a number of fellow future NBA players: Spud Webb, Lorenzo Charles, Cozell McQueen, Chris Washburn, Vinny Del Negro, Charles Shackleford, and Chucky Brown.
McMillan was drafted by the Seattle SuperSonics with the 30th pick in the 1986 NBA draft. He spent his entire NBA career in Seattle. During his 12-year playing career, McMillan put up career averages of 5.9 points, 6.1 assists and 1.9 steals. He still shares (with Ernie DiGregorio) the NBA rookie record for assists in a single game with 25. McMillan served as the primary starting point guard for the SuperSonics from the time he replaced Danny Young midway through the 1986-87 season, until he was replaced at the start of the 1990-91 season by future NBA Hall of Famer Gary Payton, then a rookie and the number two pick in the 1990 draft. McMillan was known for his superb defense, leading the NBA in steals per game for the 1993–94 season and being named to the NBA All-Defensive Second Team for the 1993–94 and 1994–95 seasons. McMillan was also known for his balanced play, which led to four career triple-doubles.
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