Although Nathan Milstein hailed from Odessa, the cradle of Russian violin playing, his personal style was more classical and intellectual in approach than many of his colleagues. By the middle of the twentieth century he had become one of the most renowned violinists in the world, and he did as much as anyone else to imbue Bach's solo violin partitas and sonatas with the rather mystical aura they have presently. Milstein began to study violin at the age of seven. His first teacher was Pyotr Stolyarsky, who remained with him through 1914. Milstein's last recital as a Stolyarsky pupil included another promising student, the five-year-old David Oistrakh. Milstein then went to the St. Petersburg Conservatory to study with Leopold Auer.
Milstein began his concert career at age ten in Odessa, and soon after he played Glazunov's concerto with the composer conducting. He continued to tour the Soviet Union for the next five years. During this time, Milstein made numerous joint appearances with Vladimir Horowitz, and Horowitz's sister Regina also joined them as Milstein's accompanist. In 1925, Milstein and Horowitz were encouraged by government officials to make a concert trip outside of Russia; Milstein would never return. Milstein recalled in his memoirs that the dramatic "grand manner" of Horowitz immediately made the pianist a star, while Milstein, a much more reserved person, did not have such immediate success. In 1926, he went to Brussels to consult with and discuss matters of interpretation with the great violinist and teacher Ysaÿe.