McMillan was born in Derry, Ireland, he was the fourth child and third son of Review Gibson McMillan, a Methodist minister. In 1856, his father was assigned to the Methodist church in Abbey Street, Dublin, and William began his formal education.
Along with his older brothers, John and Charles, he attended boarding school at Wesley College in Saint Stephens Green.
Alfred Deakin said he was a "thoughtful, educated businessman, narrow and cold after the manner of the Manchester School … business-like in manner and incisive in debate". William lived in Westport and Ballina, both in County Mayo, Ireland until the age of six. The following year, the family moved to Dún Laoghaire where his father was assigned to the Adelaide Road Methodist church, and William continued attending Wesley.
Due to family financial difficulties at the time, William had to abandon any intention to attend university in Dublin, rather in 1864 he began studies at Tulse Hill School in London.
He travelled to Sydney in 1869 to develop a branch of McArthur, softgoods merchants. He later worked at the company"s Melbourne branch before returning to Sydney as resident partner in 1876.
He later became chairman and managing director of Metropolitan Coal Company Limited and a director the Australian branches of Westinghouse Air Brake Company Limited and Phoenix Assurance Company Limited. He was the president of Sydney Chamber of Commerce in 1886.
In 1887, McMillan was elected as the member for East Sydney in the New South Wales Legislative Assembly for the Free Trade Party, and held the seat until its abolition in 1894.
He was Colonial Treasurer from March 1889 to July 1891 in Sir Henry Parkes fifth Free Trade Government and was a delegate to the 1890 conference on the federation of Australia and the 1891 National Australasian Convention. In 1894 he was elected as the member for Burwood, which he held until 1898. He chaired the finance committee of the 1897 Australasian Federal Convention.
In 1901, he was elected to federal parliament as the first member for the seat of Wentworth and was elected deputy leader of the Free Trade Party.
He retired at the 1903 election to look after his business interests. He stood unsuccessfully for the state seat of Willoughby in 1913.
McMillan was divorced in 1891. He died in his house, Althorne in the Sydney suburb of Bellevue Hill.
