McMillan was born in Beaverton, Ontario, Canada on 20 March 1951 and, as an infant, was adopted by Frank and Mary McMillan. His parents ran the Beaverton Hotel, and provided McMillan and his younger brother, Frank ("Cooch"), a worthy home and surroundings in which to grow up as youngsters. Later in life, McMillan met his biological mother who refused to acknowledge him as her child, which was profoundly felt, and influenced his onstage performances, according to his actress/wife, Anne Louise Bannon. After high school, McMillan moved to Toronto, Ontario and studied theater at Ryerson University but did not graduate, and instead, soon afterwards, joined the Stratford Festival as a young actor.
