She said, "I was auditioning for commercials, for anything, really. I then auditioned for Game of Thrones and I got a 'no' for that. And then, that's when I was like, 'Oh, this is really difficult,' and I guess I really wanted that role."
Although the actress didn't mention the specific role during her chat with Fallon, Brown previously confirmed in her interview with Preview that she auditioned to play Lyanna Mormont on the series. She said, "Yeah, that was the role I went for, but I got Eleven instead! I'm not bitter!"
The role given to Bella Ramsey, who appeared on the show's last three seasons. However, it appears that things still worked out in Brown's favor—especially considering her huge success with Stranger Things and her new film, Enola Holmes.
While speaking with Fallon, she explained that Strangers Things (then called Montauk) was the one thing that kept her from quitting acting for good. She said, "One of my last, kind of, goes at this was this Netflix show called Montauk. I auditioned and then, like, two months later they got back to us and said, 'We'd love to Skype with you' and then I Skyped with them and the rest is history, of course."
We can't wait to see even more of Millie on our screens in season four!