A yorker from fast bowler Shane Bond hit him on his foot and he was taken to hospital on Wednesday for an x-ray which revealed no breaks but severe bruising.
A team spokesman said McMillan's hopes of playing on Friday were in serious jeopardy.
"I would say he's in the 50-50 category," John Durning told Reuters.
"At 12 tomorrow (Thursday) he'll have a bowl and a bat and that will tell the story. Fortunately, it's the end of his toe and not the joint which would have been much worse news.
"Right now, he's walking around without too much pain."
Durning said McMillan had been practising in the nets against the spinners before taking on the quicker bowlers.
"With the very first ball he faced from Shane, he was struck. It was a real ripper, swinging into him late. Shane said it was the best one he'd bowled all week."
The Black Caps were already missing fast bowler Mark Gillespie (virus), while all-rounder Jacob Oram and batsman Peter Fulton were both nursing broken fingers.
Also on Wednesday, England pace bowler James Anderson broke the small finger of his right bowling hand and is also a doubt for the match.
