McMillan's vigorous 89 enabled his side to recover from 136 for seven and post a competitive total after winning the toss and electing to bat at a ground where batting first has been a significant advantage.
Captain Stephen Fleming's decision was not surprising given that the team batting first has won 16 of the last 23 one-day internationals at the SCG -- but his side didn't last the full complement, being dismissed in 47.4 overs.
The 30-year-old McMillan, seeking a place at the upcoming World Cup in the West Indies, was at his feisty best as he frustrated the Australian attack after benefiting from an early umpiring error.
McMillan was on just one with New Zealand at 59 for four when he clearly edged a Glenn McGrath delivery through to wicketkeeper Adam Gilchrist.
But he was given not out and then made the most of the early life, facing just 87 balls and producing a mixture of quality shots and extravagant swings.
McMillan, who often saves his best for the Australians and was well-supported by James Franklin late in his innings, lofted three memorable sixes.
The first came when he charged Stuart Clark and lofted him over long-on. He then smashed Nathan Bracken over mid-wicket, while the third six was a cut shot over gully off Brett Lee.
His ultimate dismissal, when he top-edged an attempted pull shot, was as unlucky as his early reprieve was fortunate.
He was caught and bowled by McGrath from a full-toss that was above waist height and should have been called a no-ball.
The Kiwi batsman stood his ground waiting for the call, but umpires Asad Rauf and Simon Taufel felt the ball was fair.
The unbeaten Australians were well on top early, their four-pronged pace attack slicing through the Black Caps' top order.
Opener Nathan Astle and recalled Hamish Marshall both fell for ducks as speedster Lee (43-2) produced a quality opening spell that saw him swing the ball at high pace.
Clark removed struggling captain Fleming for just 12 with his first ball of the match.
He dismissed the promising Ross Taylor for 26 in the same spell, when the promising Kiwi right-hander had a rush of blood and tried to hit across the line.
Clark also claimed the wickets of Peter Fulton and Daniel Vettori from the first overs of his second and third spells on his way to claiming 54-4.
The evergreen McGrath chimed in with 24-3 from 10 overs.