No - millipedes are not insects. They are myriapods, a separate arthropod group with many body segments and more than six legs.
How millipedes differ from insects
Millipedes and insects are both arthropods, so they share an external skeleton and jointed legs. Beyond that, they are built very differently.
Insects have three main body regions - head, thorax and abdomen - and their six legs are attached to the thorax. Millipedes have a long body made up of many repeated segments, and most trunk segments carry two pairs of legs. That is why they can appear to have an extraordinary number of legs, even when they are quite small.
Movement is another clear clue. Insects may fly, hop or move quickly across the surface. Millipedes are usually slower, more cylindrical or flattened in shape, and adapted to steady movement through soil, leaf litter and decaying plant material.
For a closer comparison, see Millipedes vs Centipedes: What's the Difference?. If you want to understand the anatomy behind their many legs, these guides are also useful: Why Do Millipedes Have So Many Legs? and How Many Legs Does a Millipede Actually Have?
For broader background on keeping and handling, see the Millipede Behaviour, Biology & Handling Guide.
Why the topic matters
Knowing millipedes are not insects helps keepers make better sense of their behaviour and habitat needs. Millipedes are adapted to damp, decomposing ground layers, so standard insect assumptions about display, activity and enclosure setup do not fit well.
That is why millipedes often spend time buried in substrate, under cover or hidden away during the day. In many cases, that is normal behaviour rather than a problem. Their natural life is closely tied to leaf litter, rotting wood and other organic material on the forest floor.
Useful context
Millipedes are terrestrial detritivores, feeding on decaying organic matter in the ground layer. Because of that, keeper-focused care needs to start with the animal's natural place in the substrate rather than with assumptions borrowed from insect keeping.
Species can vary quite a bit in size, shape, colour and how often they are seen above the substrate. Some are regularly visible; others are more reserved. If you want a display species, it is worth checking species-specific information before buying.
For that reason, the most useful approach is to follow guidance for the particular millipede you are keeping. Moisture needs, substrate depth, feeding and general activity can all vary by species.
In short, millipedes are not insects, and they should not be treated as though they are. They are myriapods adapted to life in damp, decomposing habitat, which is what makes them so different from typical insects in both appearance and behaviour.