He played for Traktor Chelyabinsk, SKA Leningrad, and briefly for the Quebec Nordiques. He also played for the Soviet National Team, winning a gold medal at the 1988 Olympics and at the 1989 World Championship and 1990 World Championship. He was named to the Soviet All-Star team in 1988. Mylnikov was inducted into the Russian and Soviet Hockey Hall of Fame in 1985. Mylnikov also helped the Soviet junior team to back-to-back World Junior Championships in 1977 and 1978. He was also the starting Soviet goaltender at the 1987 Canada Cup.