Alfred was the son of Jacob E. "Jake" Milburn and Margaret "Maggie" Milburn who married in New Brunswick, Canada on 11 Mar 1865. Later Alfred would have stepmothers: Hannah M., and Rebecca E. Peckham Hawkins.
Alfred married Anna Belle Johnson on 11 Dec 1889 in Appanoose County, Iowa. His name was also at least once spelled Melburn. Their children included: