McMillan's research involved the exploration of solid state chemistry under extreme high pressure and high temperature conditions using diamond anvil cells. New compounds and materials are prepared and studied at up to a million atmospheres and thousands of degrees centigrade using spectroscopy and synchrotron X-ray diffraction. He studied the properties and structure of liquids, amorphous solids and biological molecules at high pressure. McMillan has contributed across numerous fields and has published work relating to solid state inorganic/materials chemistry, high pressure-high temperature research, amorphous solids and liquids, vibrational spectroscopy, synchrotron X-ray and neutron scattering, mineral physics, graphitic carbonitrides, battery materials and the response of bacteria to high pressures.