Mr McMillan-Scott said the single market had brought in a huge amount of investment and many companies, such as Diageo and Siemens, would not here be otherwise.
The Liberal Democrat made his comments at a business networking lunch in Harrogate held by The Met Club, where he added that the EU allows businesses like Tesco to operate freely across the continent.
Mr McMillan-Scott was joined at the round table event by fellow Liberal Democrat MEP Rebecca Taylor.
He said: "Being in the EU also means we are able to benefit from trading with regions such as China and Brazil, and we could not do that on our own.
"But one issue of the EU is that the man in the street thinks, for example, that the European Court of Human Rights is part of it, when it fact it has nothing to do with it and these things need addressing.
"People don't think the EU has done anything for them, but the Working Time Directive came from it and Ryanair, for example, exists because the EU abolished the state monopoly on airlines."
Rebecca Taylorcommented: "There is also a perception that the EU dictates to Westminster, when in fact our MPs have the right to go to specific EU committees and represent the country, but we choose not to."
Mr McMillan-Scott added: "There are no limits to countries that want to join the EU, it would not weaken it; it would make it stronger.
"There are no economic or cultural limits to it, Russia could easily become a member but it would need to be more democratic."
Mr McMillan-Scott MEP is the only British Vice-President of the European Parliament, where his portfolio includes Democracy & Human Rights, and Transatlantic Relations.
He also chairs the Single Seat campaign, which fights to end the European Parliament's two-seat arrangement between Brussels and Strasbourg, which is said to cost £150m and 19,000 tonnes of CO2 a year.
One of the delegates, Keith Trotter from Cartwright Hardware, commented: "If we elected to move out of the EU we would have very little influence on the world stage; we shouldn't even think of leaving it."
While Mark Deere from Supporting SME Leaders, stated: "The EU is still in its infancy, and if we were to leave there would be a massive reduction in exports and it would lead to a huge recession.
"Our exports markets would drop off because we would not have the same legislation and it would be harder to get paid and move money around."
In a vote at the end of the lunch on whether Britain should leave the EU only one person from the 23 businesspeople present elected to do so.
The Met Club
The Met Club