Milijas was given the warning by McCarthy during the summer after the Serbia international returned from the World Cup finals.
He responded in a positive fashion to McCarthy's comments and has regained his place in the starting line-up.
Milijas said: "The gaffer told me 'you're one of my best players, I came to watch you at Red Star and I know the player I bought so you must be fitter and train harder if you want to stay here'.
"He said at the time 'if you're like you are at the moment, you can't play here, you will not be here and you will change clubs'.
"But he also said 'I know you can play here - I want you in my team because I bought you to play here.'
"He said: 'It's up to you, you've got to train hard, and if you do, you will get a chance so it's up to you to take it'.
"He helped me so much because he was honest with me and he told me straight that I had a lot to make up after coming back from the World Cup late.
"I took what he said very seriously and I've been training hard and now I feel good."
Milijas admits he was frustrated at his lack of action earlier in the campaign but now feels back to his best.
He said: "It was really hard for me to watch the games at the start of the season.
"I know I missed pre-season and I wasn't fit enough, but every time I saw a game, I wanted to play.
"That's the most important thing for a player.
"I started training again and it was really hard. I realised I needed to train more so I could play better.
"Now it's paid off and I'm really happy with my performances in the last four games."