In 1902, she married the composer Lionel Monckton, who wrote the scores of many of her shows and songs that she made famous.
She was one of the most prominent West End theatre performers of the early 20th century, starring in such long-running hits as The Toreador (1901), The Orchid (1903) The Spring Chicken (1905), The New Aladdin (1906) The Girls of Gottenberg (1907), Our Miss Gibbs (1909), The Quaker Girl (1910), Gipsy Love (1912), The Dancing Mistress (1912), The Marriage Market (1913) and A Country Girl (1914).
After Monckton died in 1924, Millar married the 2nd Earl of Dudley.