I assume you're talking about ScalaModules and your tests are located in test sub-modules.
Run all tests of your project with:
mill __.test.test
The __ is a wildcard and matches in this case any parent module(s) (like the ** in Ant patterns). The .test.test matches a test target in a module named test.
To compile all modules, run:
mill __.compile
And to run all compile targets and run tests in one go, run:
mill all __.compile __.test.test
Notice, that we need to use the all target here, which accepts multiple targets as arguments. That's needed because mill only accepts a single target or target-pattern and treats any additional command line argument as a parameter for that target.