Milstein went, aged 11, to study under Leopold Auer at the St. Petersburg Conservatoire. On a concert tour of Europe in 1925 he left Russia and stayed permanently abroad. He made his first appearance in America under Stokowski in October 1929, with the Glazunov A minor Concerto, which he had first played in public under the composer when only 10, as a stand-in. His unaccompanied Bach sonatas and partitas were flawless, and earned him a Grammy in 1975. He was also a great interpreter of the Beethoven.