Sirzechs and Millicas have a good relationship with one another, evidenced by the fact that they always play together during Sirzechs' free time. Sirzechs loves his son so much to the point that he reached near depression and deep jealousy when Millicas chose Oppai Dragon over Satan Red. Millicas has also shown to have a deep respect towards his father wanting to form a team like Sirzechs in the future.
Grayfia and Millicas have a good mother-son relationship. Grayfia loves her son dearly but is strict with him due to his status as a Satan's child and because of the special environment Millicas lives in. Millicas on the other hand tends to call Grayfia "mother" even when she is on duty as a maid. Millicas considers his mother the strongest in the family.
Millicas treats Rias as a sister figure, despite Rias being his aunt, presumably due to the small age gap between the two. He has also been shown to constantly call Rias "Onee-Sama" which means older sister. Rias also cares deeply for Millicas.
Millicas is shown to be very close to his grandmother. Venelana, in return, also loves her grandson dearly.
Millicas has admired Issei since the day they first met, calling Issei "Nii-Sama" which mean older brother. In fact Millicas' closeness to Issei is displayed when he chose Oppai Dragon (Issei) over Satan Red (Sirzechs). They have a brotherly relationship, he even asks Issei to call him by his name without honorifics due to feeling lonely about Issei calling Rias by her name which made him very happy when Issei did.
Millicas and Akeno's relationship is shown to be somewhat similar to that of Millicas and Rias', as shown when he called Akeno "Onee-Sama" a term which he only used on Akeno but not on Rias' other servants.
Millicas and Xenovia have shown to get along well with each other, Millicas have shown to admire her for her absolute power in battle and gives her advice on her bad points.
Millicas took a liking to Asia and sees her as a older sister when he heard that Rias sees her as a little sister.