MacMillan was born in Saint Croix in the Danish West Indies in December 1872. His father, Donald MacMillan, had been a paymaster with the Royal Navy and was later a sugar planter. His mother, Maria Elise Barca, was the Baroness de la Barca, the daughter of Baron de la Barca. Following an uprising by workers in 1879, the MacMillans left Saint Croix.
