In this study, we designed an integrated fixture system using eddy current sensors and piezoelectric actuators. With this system, active supporting forces are exerted on thin-walled workpieces to adjust their stiffness in a real-time manner and thus to suppress chatter in milling. When modeling this system, we used a mass–stiffness–damping element to characterize the dynamic behavior of the actuator under high-speed responses, and we considered the electromechanical coupling between the mechanical elements and the drive circuit of the actuator. We then proposed an optimal delayed state feedback controller for the closed-loop system. The delayed state is obtained by introducing the time delay in milling dynamics into the regular state feedback, and the optimal gain is worked out through the differential quadrature and gradient descent, which is a much more computationally efficient method than the classic semi-discretization. Among all similar approaches, our strategy leads to the largest stability region for milling of thin-walled parts and requires the least energy input, which are proved by simulations and experiments.