Millen began his racing career in hillclimbing in 1969. He then moved to the Formula Ford series. He started competing in rally cars in the mid 1970s. He switched to off-road racing in the Mickey Thompson Entertainment Group (MTEG) stadium series in the early 1980s. He won the 1986, 1988, and 1989 Mickey Thompson Off-Road Grand Prix Grand National Sports Truck Championships. He also won two Indy Lights races in the series' inaugural 1986 season, that same year, he also participates in the last round of the World Rally Championship in the 21st Olympus Rally driving for Toyota Team Europe, accompanying the Swedish drivers Björn Waldegård and Lars-Erik Torph.