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Milinković started his managerial career as an assistant manager to Ratko Dostanić at Obilić during the 2002–03 season, before they both left and took up identical roles at Sartid Smederevo ahead of the 2003–04 season. He was appointed as the manager of Obilić in August 2004, but was released after only two months. He then became the manager of BSK Borča, having a lot of success in the following three seasons. He left the club before they made their Serbian SuperLiga debut. After leaving BSK Borča, Milinković had unassuming brief spells at Kolubara and Srem.
On 25 March 2015, Milinković was named manager of FK Partizan after Marko Nikolić was sacked. On 4 April 2015, he made his debut on the bench of Partizan in a 2–1 home win against Radnički Kragujevac. In the spring part of the 2014–15 season, Milinković has returned the title of champion of Serbia to Partizan, which was last season won by Red Star Belgrade. Milinković enrolled 7 wins with Partizan in the Serbian SuperLiga in the spring part of the 2014–15 season and three draws, while in the Serbian Cup he enrolled one win and one defeat.
He began the 2015–16 season in a win over Dila Gori in the second qualifying round for the UEFA Champions League on 14 July 2015. In the Serbian SuperLiga he also had a great start, defeating Metalac Gornji Milanovac 4–0, while in the second round Partizan won against Jagodina 6–0. On 5 August 2015, Milinković and his squad won against Romanian champions Steaua București in the second leg of the third qualifying round for the Champions League and so qualified Partizan to the Champions League qualifying play-off. The last time that Partizan qualified to the Champions League play-off was when it was led by Aleksandar Stanojević in the summer of 2010.
On 26 August 2015, Milinković's Partizan was defeated by BATE Borisov and as a result entered the group stage of the UEFA Europa League.
Al-Ain
On 9 November 2023, Milinković was appointed as head coach of Saudi club Al-Ain.
Al-Zulfi
On 3 June 2024, Milinković was appointed as head coach of Saudi club Al-Zulfi.