Milligan was born on 19 August 1746 in Dumfries, Scotland. Between about 1768 and 1779 he was a merchant in Kingston, Jamaica. One of his enterprises whilst in Jamaica was as a partner in "Dick and Milligan", a firm which was involved in the bulk buying of slaves, to be sold on the island. Milligan also had a business relationship with another Scottish merchant in Jamaica, George Forteath. By the time he left Jamaica for England in 1779, Milligan had become a member of the Jamaica chamber of commerce.