Nature provides much inspiration for developing soft millirobots. However, compared with smart and adaptations of lives in nature, these robotic systems still suffer from insufficiency of intelligence. Here, a new untethered soft millirobot with magnetic actuation in the head and function in the tail is presented via implementing control, actuation, and sensing directly in the materials, thereby endowing robots with multimodal locomotion and environment‐adaptive functions. Due to the soft and asymmetric structure, the millirobot not only shows robust multimodal locomotion, including controllable and transformable crawling, swinging and rolling, but also achieves an excellent capability of helical propulsion in water. Moreover, the robot also possesses outstanding obstacle‐crossing abilities, including helically propelling over obstacles (>2 body length), crawling within a 2 mm height tunnel and swinging through a 450 µm width channel. Furthermore, the robot can even squeeze its body to crawl through a tube easily via near‐infrared irradiation, which triggers the osmotic shrinking of its body. Notably, the robots also possess extraordinary environment‐adaptive functions, for example, leptocephali‐like optical camouflage in water, octopus‐like controllable delivery and variable appearance via visible color–shifting for interaction with the changing environment. These smart robotic systems would be of benefit in various fields via seamless integration of bioinspired design and smart materials.