The Millarville Cemetery, also known as Christ Church Anglican Cemetery, is located about 5 km east of the town. There are 662 interments on this site.
The town is named after Malcolm Tanner Millar (1860-1937), first settler and postmaster and a resident of the area for fifty years. Millar came from Scotland in 1879 and joined the North West Mounted Police the following year. After five years with the Force, he took his discharge and homesteaded on Sheep Creek in 1886. The first post office was opened at his home in April of 1892 and served the community for twenty years until a new one was established further west.