McMillan was drafted by the Seattle SuperSonics with the 30th pick in the 1986 NBA draft. He would spend 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 the NBA rookie record for assists in a single game with 25. McMillan played as the starting point guard position for the SuperSonics for most of his career. 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. In the 1995–96 season, McMillan helped the SuperSonics reach the NBA Finals against the Michael Jordan-led Chicago Bulls. The SuperSonics were the only team to beat the Bulls three times that season. Known as "Mr. Sonic" for his 19 years of service to the team, his no. 10 jersey was retired by the SuperSonics. He was also known to be one-third of the "Big Mac" team of the SuperSonics in the late 1980s and early 1990s, the others being Xavier McDaniel and Derrick McKey.
Coaching career
Seattle SuperSonics
After retiring in 1998, McMillan stayed in Seattle as an assistant under Paul Westphal. He held this role until 2000 when the Sonics fired Westphal and made McMillan interim coach. Although the team missed the playoffs during his first year, he earned a winning record of 38–29 as interim head coach. He was hired as head coach for the 2001–02 campaign and led the club to the playoffs. As a result, he was named permanent head coach after the season. McMillan's Sonics had mediocre records the next two years, going 40–42 and 37–45. In the 2004–05 season, he led the team to 52–30 record in the regular season. The team advanced to the Western Conference Semifinals, where they lost to the San Antonio Spurs.
After 19 years in Seattle, McMillan left Seattle on July 6, 2005, to become the head coach of the Portland Trail Blazers. He took over a team riddled with cap problems and off-the-court drama, but steadily calmed the waters in Portland. His hard-nosed coaching style earned him the nickname "Sarge." On December 5, 2009, McMillan ruptured his right Achilles tendon while scrimmaging with the Trail Blazers during practice. He coached much of the season in a protective boot after surgery and led the team to 50 wins in spite of a historic number of injuries to his key players. McMillan coached the Blazers until March 15, 2012.
On July 1, 2013, McMillan was hired by the Indiana Pacers as an assistant coach for the 2013–14 season. He replaced Brian Shaw, who accepted the head coaching position with the Denver Nuggets. In May 2016, after former head coach Frank Vogel's contract was not extended, McMillan was promoted to replace Vogel as the Pacers' coach.