Milner missed the session at St George's Park in Burton with a cold and Baines was allowed to leave the squad briefly to deal with a family matter.
The Everton left-back is expected to re-join his team-mates on Tuesday evening.
England's main injury worries, including Manchester United duo Wayne Rooney and Phil Jones, were able to take part in training along with Arsenal's Jack Wilshere and Alex Oxlade-Chamberlain.
Jones injured his shoulder towards the end of the Premier League season and Rooney missed the run-in with a groin problem - Jones did not take part in any of the full-contact training.
Those heading for Brazil were joined by standby players John Stones of Everton and Liverpool's Jon Flanagan.
England face Peru at Wembley on Friday night in their final friendly before crossing the Atlantic.
They then face Ecuador on June 4 and Honduras on June 7 - both games in Miami - before jetting down to Brazil for the start of the tournament on June 12.
Wilshere is hoping to use the warm-up games as a platform for the World Cup, having not started a match since March after fracturing his foot in England's friendly against Denmark at Wembley.
The Arsenal midfielder said: "I've been training for a long time now. I'm yet to play a game, but I've been training now for six weeks.
"I'm feeling well. I maybe need a few games, but I'm feeling good. Hopefully I can get some games under my belt before the big kick-off."