Her relatives told Eyewitness News the first grader went to play with a friend whose home is located near a 30 foot embankment that slopes into the river.
Eyewitness News learned Wednesday that McMillan's playmate told authorities she and Ca'zhia were on the bank of the river near a tree when McMillan fell into the water.
Authorities confirmed she fell into the water and her friend ran to get help.
Wednesday's search included a crew in the air that searched the surface and the banks of the river.
"It's rough, pulling up logs and limbs things get hung up bad," said Thomas Beasley with the Bone Trail Volunteer Fire Department.
Assistant Angier Fire Chief Lee Marshal --part of dive rescue team-- spent most of Wednesday underwater, he says the water is so dark, and turbulent he had feel his way around.
"I've been searching 23 years this is the worst current and the temperature that where you have to get too and work at," he said. "You can see until you stir it up about a foot and half deep."
As day two of the search began, McMillan's family wondered the worse.
"We know it's been a long night and we, we just -- it's in the Lord's hands," said Denise Goins, McMillan's aunt . "That's all I can say. Everything is in the Lord's hands."
"Is she -- did she suffer?" Goins asked. "We just want her to be found. It ain't much we can say until she's found. We just want her found!"
Authorities say the river is flowing about five miles an hour and there has been no sign of the little girl, not even along the shallow edges or in the deeper middle section. The search has included sonar and surface boats, water rescue divers and cadaver dogs.Late Wednesday, search leaders told the family, they were scaling back some of the search effort, to give bone tired crews a chance to rest. But said giving up is not an option. "We have a goal to find her and that's our goal we are not going to be satisfied until we do," Maj. Gary McNeil said.
"We don't know," Goins said. "We won't know until they bring the body up."
And while Goins admits it's a strong possibility they will only find a body, the family continues to pray.
"Praying to the Lord, just terrified," Goins said. "There's not much talking you can do. You really don't want to do much talking because you don't have nothing to say. We just want Ca'zhia, you know?"
McMillan's grandfather Nelson Cherry told Eyewitness News Tuesday the last time he saw Ca'zhia was at 4 p.m. riding her bike to a friend's house.
Deputies say they received a frantic call about someone falling into the river around 5:45 p.m. Tuesday near the Tradewind Subdivision on Woodwind Drive.
On Tuesday dozens of firefighters and rescue crews searched areas near the river and searched the river's bank for hours. They said they are fighting time and temperature hoping for a miracle.
"The water is pretty deep, it's about 6 to 8 feet deep and the current is pretty steady," said Chief T.J.McLamb, Flat Branch Vol. Fire Department. "As you know over the past years we have had a bunch of storms, so we got a bunch of snags in the river, having to deal with that. It's about 44 degrees out here now, the water temperatures is in the 40s as well so hypothermia for the guys is tough to deal with as well."
Tuesday night a large crowd of family and neighbors held a vigil and watched as crews searched the area. The search continued through Tuesday night but was eventually scaled back. A full search resumed Wednesday at sunrise.