In 1993, Millar began his professional career with the Saint Paul Saints of the Northern League.

Millar was a replacement player during the 1994–95 Major League Baseball strike, when he played with the replacements in early 1995 and therefore, he is barred from membership in the Major League Baseball Players Association.

From 1997 to 1999, during games encompassing several minor league stints, Millar set the record for most consecutive games reaching base with 71 straight (although this statistic only began to be formally tracked in the minors in 1996). This record was tied in 2003 by future Red Sox teammate Kevin Youkilis. His contract was purchased by the Florida Marlins at the end of the season and he made his major league debut for Florida in 1998.

Millar played for the Marlins between 1998 and 2002, and was later sold to the Japanese Central League Chunichi Dragons. In order for the transaction to be completed, he first had to clear the waivers requested by the Marlins, but the Red Sox broke an "unwritten rule" and blocked the deal with a waiver claim. In an unprecedented deal brokered by MLB, the Marlins later repaid the money that the Dragons had paid for Millar, and the Sox also paid a similar sum to the Marlins in return for Millar. He became a clubhouse favorite and a sort of cult hero for the Red Sox fans because of his iconic "Cowboy Up" rallying cry. His clubhouse presence and offensive production helped spark the Red Sox to the 2003 American League Championship Series and the 2004 World Series. Millar was active in team interviews and conversations throughout the playoffs. He was often outspoken and made friends with many teammates.

During the 2003 playoffs, Millar came up with the phrase "Cowboy Up," and in 2004 referred to his team as "idiots" to keep his teammates loose during the stretch run to the World Series Championship.

Probably one of his most memorable quotes came during the 2004 American League Championship Series when, while warming up before Game 4, with the Red Sox down 3 games to 0 against the arch-rival New York Yankees, kept repeating "Don't let us win tonight!" Further developing on that quote, he added "This is a big game. They've got to win because if we win we've got Pedro coming back today and then Schilling will pitch Game 6 and then you can take that fraud stuff and put it to bed. Don't let the Sox win this game." These words became prophetic as the Sox rallied in 12 innings in game 4 to win 6-4 and went on to come from behind and win the ALCS 4 games to 3, capping off the biggest comeback in MLB playoff history and setting the stage to bring about death to the Curse of the Bambino.

Millar signed with the Baltimore Orioles on January 12, 2006 as a free agent. During the season he broke Rey Ordonez's record for most games played by any non-drafted player who started his career in the Independent Leagues during the Draft era.

He was not only brought to Baltimore because of his bat, but also his personality. Initially in Baltimore, he was not an everyday player. However, when Dave Trembley took over the team, he began to play more regularly.

On August 23, 2007, Millar reached base safely for the 50th consecutive game, setting a franchise record for the Baltimore Orioles. On August 26, 2007 Millar's streak came to an end at 52 games. It is the 7th longest streak since 1957.

In Game 7 of the 2007 ALCS Millar threw out the first pitch at Fenway Park. Also, he introduced the Red Sox starting lineup for Fox Television. Even though he got permission from Orioles brass, it was seen as controversial. He has a special relationship with the Sox, including other instances when every member of the Orioles was booed except for Millar at an O's-Sox game at Fenway Park. Signs have also appeared at Fenway Park and Camden Yards with phrases like "Millar: Fenway's favorite Oriole."