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Starting from January 2000, Millennium introduced the Fantasy Masterworks series which is published concurrently with the Science Fiction Masterworks series: a book from each series each month. The following lists these books, the Science Fiction book first followed by the Fantasy book.
| Jem | Frederick Pohl |
| The Word for World is Forest | Ursula Le Guin |
| The Incredible Shrinking Man | Richard Matheson |
| Downward to the Earth | Robert Silverberg |
| Hard to be a God | Arkady and Boris Strugatsky |
| Lord Darcy | Randall Garrett |
| Night Lamp | Jack Vance |
| Life During Wartime | Lucius Shepard |
| Dark Benediction | Waltere M Miller Jr |
| The Wind's Twelve Quarters and The Compass Rose | Ursula Le Guin |
| Ombria in Shadow | Patricia McKillip |
| Mythago Wood | Robert Holdstock |
| Nova | Samuel Delany |