Milly was born in Tampa, Florida to business owners Michelle and Eric Shapiro. She was educated at the Community Montessori School from 18 mos. until 10 years old, when she moved to New York to pursue her career as an actress-singer. Inspired by her sister, Abigail, she began vocal training at the age of 3 and acting at 5 when she began performing. She was discovered at the age of 10 and began training as a professional actress-singer, when she moved to New York to accept the role of Matilda in Matilda the Musical on Broadway.