Milliam was founded in 1823 as a small farming community. Originally named "William", its name was, for some reason, changed to "Milliam" circa 1894 (thought to be due to a visitor exclaiming that the "W" on the welcome sign looked more like an upside-down "M" and that the community needed to "turn the M rightside up"). In 2002, there was a petition to have the town's name changed back to "William" (in honor of one of the town's founders), as townspeople felt that the name Milliam "was made-up, and honors nobody having anything to do with the town's history". The name Milliam continues to be the town's name. Milliam was incorporated as a town on February 1, 1949.
Milliam has been referred to as "Beast Town" or "Devil Town", due to its location along State Highway 666. It is believed that several ghosts also haunt the town, including the ghost of William Schadenmeier, the source of the town's original name. At one time, Milliam had a population of 666 people, leading many superstitious residents to beg any person visiting town to consider moving there, or to ask at least one person already living there to consider leaving.