You can use JmhModule to integrate JMH testing with Mill.

Example configuration:
import mill._, scalalib._

import $ivy.`com.lihaoyi::mill-contrib-jmh:`
import contrib.jmh.JmhModule

object foo extends ScalaModule with JmhModule {
  def scalaVersion = "2.13.8"
  def jmhCoreVersion = "1.35"

Here are some sample commands:

mill foo.runJmh             # Runs all detected jmh benchmarks
mill foo.listJmhBenchmarks  # List detected jmh benchmarks
mill foo.runJmh -h          # List available arguments to runJmh
mill foo.runJmh regexp      # Run all benchmarks matching `regexp`

For Scala JMH samples see sbt-jmh.