Milly Thompson works as an insurance agent for the Bernardelli Insurance Society, assigned alongside her partner Meryl Stryfe to track down and document damages caused by the legendary gunman known as Vash the Stampede. She comes from a very large, close-knit family, being the youngest of many siblings, and maintains strong ties with them by writing frequent letters home, a practice she calls the Milly Monthly.

Milly presents a cheerful, friendly, and seemingly simple demeanor. She is kind-hearted and possesses a genuine optimism that remains steady even in dangerous situations. While she often appears ditzy or airheaded, she possesses a deeply buried intelligence and an insightful, perceptive nature that allows her to understand people and situations intuitively, often picking up on details others miss before they become obvious. Her kindness is natural and extends to everyone she meets, and she is quick to forgive. However, she has a fierce protective streak, especially when it comes to family or those she cares about, and disrespect toward her family or the wasting of food can provoke a surprisingly hotheaded reaction from her.

Her motivations are rooted in her sense of duty and her loyalty to her partner and friends. She approaches her assignment with diligence, but her primary drive is to support Meryl and, later, to help and protect Vash and others she befriends along the way. She accepts Vash and his pacifist nature without skepticism, forming a bond of trust and compassion that contrasts with Meryl's initial wariness.

In the story, Milly serves as a loyal assistant and companion to Meryl Stryfe. Their partnership is central to the journey; Milly looks up to Meryl and addresses her with respect, and her warmth and easygoing nature balance Meryl's more serious and intense personality. Their dynamic evolves from a professional relationship into a close friendship akin to sisterhood. Milly also forms a significant bond with Vash, quickly believing in his ideals and offering him unconditional support and empathy. Additionally, her relationship with Nicholas D. Wolfwood deepens over time; she sees past his rough exterior to his inner struggles, and their connection becomes more personal, revealing a more serious and emotionally profound side of her character.

Over the course of the series, Milly demonstrates quiet but meaningful development. While she remains consistently optimistic and kind, her perceptiveness becomes more apparent, and her courage and loyalty are tested and proven in dangerous encounters. Her relationships with her companions deepen, and she proves herself an active and capable participant in the group's challenges.

Notable abilities include her remarkable physical strength, which allows her to perform heavy manual labor and carry heavy loads with ease. She wields a large, multi-barreled concussion gun, often called a stun-gun, which she conceals under her coat. The weapon fires nonlethal projectiles that expand into X-shaped pellets upon impact, powerful enough to incapacitate people or even knock over large vehicles. Beyond her physical abilities, her greatest strength is her emotional intelligence and empathy, which enable her to connect deeply with others and provide crucial support to her companions.