This paper reports on an exploratory interpretivist study of global millennial consumers' subjective interpretations of ethnic targeted marketing communications in a multicultural marketplace. Although millennials are the most ethnically diverse generational cohort that has ever existed, little is known about their interpretation of ethnicity depiction in advertising and how they draw from advertising imagery to infer their ethnic identity, social acceptance and inclusion in a culturally diverse society. Within the broader context of the global consumer culture, this paper draws on theories of social identity, persuasion and multiculturalism to investigate whether ethnic marketing is still applicable to reach the diverse millennial consumers. In-depth interviews with the photo elicitation technique were conducted with an ethnically heterogeneous sample of twenty-three millennial individuals in the UK. The findings show that ethnic millennials' multicultural identities cannot be primed through mono-ethnic targeted messages, whereas multi-ethnic embedded marketing communications provide a more effective access for the ethnically diverse millennial consumers in the modern society and can potentially be a viable solution towards enhanced wellbeing and lower prejudice. This study contributes to insights into millennial consumers' experience in the multicultural marketplace, the sociocultural meanings of ethnic advertising and the opportunities and challenges of reaching to this diverse audience.