Millegan is openly gay. Out magazine named him the "Hottest Up-and-Coming Openly Gay Actor of 2003.".
In March 2010, Millegan came out as having bipolar disorder in The Huffington Post.
Millegan married his long-time partner, Charles Michel, in New York City on June 28, 2012. He announced his union on Twitter.
On November 1, 2015, Millegan ran in the TCS New York City Marathon.