PurposeExerting a peculiar fascination on both managers and academics, Millennials can be distinguished from other cohorts by their intense exposure to the internet and heavy use of social media, which, in turn, affect their identity formation, brand engagement, loyalty and purchase behaviour. Yet, uncertainties regarding online engagement and the real benefits brands can reap from Millennials’ avid use of social media remain. Therefore, by developing a holistic model of drivers and outcomes, this study aims to understand how Millennials engage with their most loved, self-expressive brands across social media platforms and its impact on loyalty-related intentions.Design/methodology/approachData was gathered using a self-administered survey, answered by 343 millennial generation social media users and based on self-selected self-expressive, loved brands. Considering brand loyalty as a key outcome, a holistic model was developed and tested using partial least squares-structural equation modelling, emphasizing not only the role of social media engagement but also including brand love, experience and identification as direct and indirect antecedents.FindingsFindings suggest a disconnection between online and offline brand relationships: though Millennials love and are very loyal to their favourite brands, they are not actively engaged in social media, which helps to explain the non-significant effect of engagement on brand loyalty. Moreover, together with brand identification, brand experience was found to play a major role in developing brand love, which, in turn, is positively related to engagement and loyalty.Originality/valueTheoretically, this study contributes to bridging a gap in the literature, as research on engagement, its drivers and outcomes is scant and there is no robust evidence about its impact on brand loyalty, particularly among Millennials. Moreover, research on disengaged consumers who exhibit limited willingness to engage is still scant. Managerially, this study provides insights for brand managers wishing to successfully engage and build relationships with Millennials and to identify key routes to Millennials’ loyalty.