The 14-year-old actress, who plays Jane/Eleven in the Netflix sci-fi show, shared a video on her Instagram Stories showing her looking sad as she was being driven to the set in Georgia.
"I will cry all day fyi (for your information)," she wrote alongside the video, "Last day of shooting stranger things 3."
She also tagged her co-star Sadie Sink, who plays Max, and wrote "I can't say goodbye", as well as Noah Schnapp, who portrays Will Byers, and added, "This is not okay."
Millie stayed true to her word, posting a photo 11 hours later showing herself crying as well as the words, "Told u.... (crying emoji)."
The British star also shared a snap of Noah and Sadie and captioned it, "Love of my life", before posting two images of herself with them on her main Instagram feed with the caption, "that's (sic) a wrap (heart emoji)."
The photos were surrounded by a border reading "one more time" leading many fans to question if the series, or Eleven's story, will come to an end after season three. The plot for the show, which is expected to be made available in summer 2019, is being kept under wraps by creators Ross and Matt Duffer and producer Shawn Levy, although it has been revealed that the brand-new Starcourt Mall in Hawkins, Indiana will be a major setting, and where newcomer Maya Hawke gets introduced, as Steve Harrington's colleague at the Scoops Ahoy Ice Cream shop.
Noah gave a sneak peek of the set by sharing a video showing him sliding down the mall's escalator "one last time" to mark the end of filming.
Millie's posts come shortly after editors at Heroic Hollywood published a report suggesting she had received a pay rise and was now earning $350,000 (£271,000) an episode for season three, the same as adult actors Winona Ryder and David Harbour.