<PAGE>
 
                UNITED STATES SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549

                                   FORM 10-Q

(Mark One)

(X) QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934

For the quarterly period ended   March 31, 1998
                               ----------------

                    OR

( ) TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
  EXCHANGE ACT OF 1934

For the transition period from ________________ to ________________

Commission File Number 0-18215

                       JOHN W. HENRY & CO./MILLBURN L.P.
                     -------------------------------------
                          (Exact Name of Registrant as
                           specified in its charter)

        Delaware                                    06-1287586
--------------------------------        ---------------------------------
(State or other jurisdiction of         (IRS Employer Identification No.)
incorporation or organization)

                   c/o Merrill Lynch Investment Partners Inc.
            Merrill Lynch World Headquarters - South Tower, 6th Fl.
             World Financial Center New York, New York  10080-6106
             -----------------------------------------------------
                    (Address of principal executive offices)
                                   (Zip Code)

                                 212-236-9757
         -------------------------------------------------------------
             (Registrant's telephone number, including area code)

     Indicate by check mark whether the registrant (1) has filed all reports
required to be filed by Section 13 or 15 (d) of the Securities Exchange Act of
1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to such
filing requirements for the past 90 days.               Yes  X    No 
                                                           -----    -----
<PAGE>

                                PART I - FINANCIAL INFORMATION
Item 1.    Financial Statements

                       JOHN W. HENRY & CO./MILLBURN L.P.
                        (a Delaware limited partnership)
                         ------------------------------ 
                       STATEMENTS OF FINANCIAL CONDITION
                       ---------------------------------

<TABLE> 
<CAPTION> 


                                                                          March 31,            December 31,
                                                                            1998                  1997
                                                                            ----                  ----
<S>                                                                       <C>                  <C> 
ASSETS                                                 
------                                                 
Investments                                                                  $58,674,167           $63,024,164
Receivable from investments                                                      648,773               514,158
                                                                     --------------------  --------------------
                                                       
                TOTAL                                                        $59,322,940           $63,538,322
                                                                     ====================  ====================
                                                       
LIABILITIES AND PARTNERS' CAPITAL                      
---------------------------------                      
LIABILITIES:                                                                                
    Redemptions payable                                                         $648,773              $514,158
                                                                     --------------------  --------------------
                                                       
            Total liabilities                                                    648,773               514,158
                                                                     --------------------  --------------------
                                                       
PARTNERS' CAPITAL:                                     
    General Partner:                                   
        (780 and 780 Series A Units)                                             210,708               221,605
        (1976 and 1976 Series B Units)                                           433,818               456,174
        (1439 and 1439 Series C Units)                                           246,211               258,899
    Limited Partners:                                  
        (49850 and 50992 Series A Units)                                      13,466,561            14,487,473
        (132929 and 135244 Series B Units)                                    29,184,879            31,223,304
        (88436 and 91020 Series C Units)                                      15,131,990            16,376,709
                                                                     --------------------  --------------------
                                                       
            Total partners' capital                                           58,674,167            63,024,164
                                                                     --------------------  --------------------
                                                       
                TOTAL                                                        $59,322,940           $63,538,322
                                                                     ====================  ====================
                                                       
NET ASSET VALUE PER UNIT                               
Series A (Based on 50630 and 51772 Units outstanding)                            $270.14               $284.11
                                                                     ====================  ====================
Series B (Based on 134905 and 137220 Units outstanding)                          $219.55               $230.87
                                                                     ====================  ====================
Series C (Based on 89875 and 92459 Units outstanding)                            $171.11               $179.92
                                                                     ====================  ====================
</TABLE> 
See notes to financial statements.

                                       2
<PAGE>

                       JOHN W. HENRY & CO./MILLBURN L.P.
                       ---------------------------------
                        (a Delaware limited partnership)
                         ------------------------------ 

                              STATEMENTS OF INCOME
                              --------------------
<TABLE> 
<CAPTION> 
                                                   For the three         For the three
                                                    months ended          months ended
                                                     March 31,             March 31,
                                                       1998                  1997
                                                 ------------------   --------------------
<S>                                              <C>                  <C> 
REVENUES:
    Income from investments                             $3,078,837             $3,723,108
                                                 ------------------   --------------------


NET INCOME                                              $3,078,837             $3,723,108
                                                 ==================   ====================

NET INCOME PER UNIT:
    Weighted average number of units
        outstanding                                        279,873                303,531
                                                 ==================   ====================

    Weighted average net income
       per Limited Partner                                                              
      and General Partner Unit                              $11.00                 $12.27
                                                 ==================   ====================
</TABLE> 

See notes to financial statements.

                                       3
<PAGE>
 
                       JOHN W. HENRY & CO./MILLBURN L.P.
                        (a Delaware limited partnership)
                         ------------------------------ 

                   STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
                   ------------------------------------------
               For the three months ended March 31, 1998 and 1997
               --------------------------------------------------
<TABLE> 
<CAPTION> 
                                                Units                                    Limited Partners                    
                                                -----                                    ----------------
                                Series A      Series B     Series C        Series A          Series B          Series C      
                               ------------ ------------- ------------ ----------------- ----------------- ----------------- 
<S>                            <C>          <C>           <C>          <C>               <C>               <C> 
PARTNERS' CAPITAL,
  December 31, 1996                 56,376       148,528      100,695       $14,040,479       $30,082,484       $15,878,356  

Redemptions                         (1,665)       (3,133)      (1,273)         (451,037)         (688,349)         (219,031) 

Net income                               -             -            -           860,985         1,840,225           971,123  
                               ------------ ------------- ------------ ----------------- ----------------- ----------------- 

PARTNERS' CAPITAL,
  March 31, 1997                    54,711       145,395       99,422       $14,450,427       $31,234,360       $16,630,448  
                               ============ ============= ============ ================= ================= ================= 

PARTNERS' CAPITAL,
  December 31, 1997                 51,772       137,220       92,459       $14,487,473       $31,223,304       $16,376,709  

Redemptions                         (1,142)       (2,315)      (2,584)         (311,649)         (511,234)         (448,277) 

Net loss                              -             -            -             (709,263)       (1,527,191)         (796,442) 
                               ------------ ------------- ------------ ----------------- ----------------- ----------------- 

PARTNERS' CAPITAL,
  March 31, 1998                    50,630       134,905       89,875       $13,466,561       $29,184,879       $15,131,990  
                               ============ ============= ============ ================= ================= ================= 

<CAPTION> 
                                                 General Partner
                                                 ---------------
                                  Series A          Series B          Series C           Total
                               ----------------  ----------------  ---------------- -----------------
<S>                            <C>          <C>           <C>          <C>               <C>               
PARTNERS' CAPITAL,
-  December 31, 1996                  $196,983          $405,594          $230,192       $60,834,088

Redemptions                            -                 -                -               (1,358,417)

Net income                              12,010            24,730            14,035         3,723,108
                               ----------------  ----------------  ---------------- -----------------

PARTNERS' CAPITAL,
  March 31, 1997                      $208,993          $430,324          $244,227       $63,198,779
                               ================  ================  ================ =================

PARTNERS' CAPITAL,
  December 31, 1997                   $221,605          $456,174          $258,899       $63,024,164

Redemptions                            -                 -                -               (1,271,160)

Net loss                               (10,897)          (22,356)          (12,688)       (3,078,837)
                               ----------------  ----------------  ---------------- -----------------

PARTNERS' CAPITAL,
  March 31, 1998                      $210,708          $433,818          $246,211       $58,674,167
                               ================  ================  ================ =================
</TABLE> 

See notes to financial statements.

                                       4
<PAGE>
 
                       JOHN W. HENRY & CO./MILLBURN L.P.
                        (A Delaware Limited Partnership)
                         ------------------------------ 

                         NOTES TO FINANCIAL STATEMENTS


1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
 
   These financial statements have been prepared without audit.  In the opinion
   of management, the financial statements contain all adjustments (consisting
   of only normal recurring adjustments) necessary to present fairly the
   financial position of  John W. Henry & Co./Millburn L.P. (the "Partnership"
   or the "Fund") as of March 31, 1998 and the results of its operations for the
   three months ended March 31, 1998 and 1997.  However, the operating results
   for the interim periods may not be indicative of the results expected for the
   full year.

   Certain information and footnote disclosures normally included in annual
   financial statements prepared in accordance with general accepted accounting
   principles have been omitted.  It is suggested that these financial
   statements be read in conjunction with the financial statements and notes
   thereto  included in the Partnership's Annual Report on Form 10-K filed with
   the Securities and Exchange Commission for the year ended December 31, 1997
   (the "Annual Report").

   As of December 1, 1996, the Partnership invested all of its assets in Trading
   LLCs.  The Partnership was, thus, invested indirectly in the trading of
   derivative instruments, but did not itself hold any derivative positions.
   Consequently, no such positions subsequent to November 30, 1996 are reflected
   in these financial statements.

2. INVESTMENTS

   As of March 31, 1998 and December 31, 1997, the Partnership had investments
   in the ML JWH Financial and Metals Portfolio L.L.C. ("JWH LLC") and ML
   Millburn Global L.L.C. ("Millburn LLC") as follows:

                                       1998                  1997
                                 ------------------    ------------------

 JWH LLC                              $ 28,518,233          $ 31,979,914
 Millburn LLC                           30,155,934            31,044,250
                                 ------------------    ------------------
 Total                                $ 58,674,167          $ 63,024,164
                                 ==================    ==================
                                                                      
                                       5
<PAGE>
 
  Total revenues and fees with respect to such investments is set forth as
     follows:

<TABLE> 
<CAPTION> 
For the three months             Total             Brokerage       Administrative         Profit           Loss from 
ended March 31, 1998            Revenue           Commissions           Fees              Shares           Investments 
                         -------------------   ----------------  ------------------  ------------------  -----------------
<S>                      <C>                   <C>               <C>                 <C>                 
Series A Units                                                                                           
                                                                                                         
JWH LLC                           $(493,612)          $166,854              $4,392                 $ -          $(664,858)
Millburn LLC                        118,327            169,055               4,449                 125            (55,302)
                         -------------------   ----------------  ------------------  ------------------  -----------------
                                                                                                         
Total                             $(375,285)          $335,909              $8,841                $125          $(720,160)
                         ===================   ================  ==================  ==================  =================
                                                                                                         
Series B Units                                                                                           
                                                                                                         
JWH LLC                         $(1,059,688)          $357,802              $9,416                 $ -        $(1,426,906)
Millburn LLC                        252,625            365,495               9,618                 153           (122,641)
                         -------------------   ----------------  ------------------  ------------------  -----------------
                                                                                                         
Total                             $(807,063)          $723,297             $19,034                $153        $(1,549,547)
                         ===================   ================  ==================  ==================  =================
                                                                                                         
Series C Units                                                                                           
                                                                                                         
JWH LLC                           $(554,018)          $186,982              $4,921                 $ -          $(745,921)
Millburn LLC                        133,068            190,987               5,026                 264            (63,209)
                         -------------------   ----------------  ------------------  ------------------  -----------------
                                                                                                         
Total                             $(420,950)          $377,969              $9,947                $264          $(809,129)
                         ===================   ================  ==================  ==================  =================
                                                                                                         
Total All Units                                                                                          
                                                                                                         
JWH LLC                         $(2,107,318)          $711,638             $18,729                 $ -        $(2,837,685)
Millburn LLC                        504,020            725,537              19,093                 542           (241,152)
                         -------------------   ----------------  ------------------  ------------------  -----------------
                                                                                                         
Total                           $(1,603,298)        $1,437,175             $37,822                $542        $(3,078,837)
                         ===================   ================  ==================  ==================  =================
</TABLE> 

                                       6
<PAGE>

<TABLE> 
<CAPTION>  
For the three months           Total            Brokerage       Administrative           Profit           Income from 
ended March 31, 1997          Revenue          Commissions           Fees                Shares           Investments 
                         -----------------   ----------------  ------------------  ------------------  -------------------
<S>                      <C>                 <C>               <C>                 <C>                 <C> 
Series A Units                                                                                         
                                                                                                       
JWH LLC                          $263,141           $182,952              $4,464                $564              $75,161
Millburn LLC                    1,218,823            206,509               5,040             209,441              797,833
                         -----------------   ----------------  ------------------  ------------------  -------------------
                                                                                                       
Total                          $1,481,964           $389,461              $9,504            $210,005             $872,994
                         =================   ================  ==================  ==================  ===================
                                                                                                       
Series B Units                                                                                         
                                                                                                       
JWH LLC                          $562,829           $393,474              $9,604                $795             $158,956
Millburn LLC                    2,609,249            444,407              10,849             447,995            1,705,998
                         -----------------   ----------------  ------------------  ------------------  -------------------
                                                                                                       
Total                          $3,172,078           $837,881             $20,453            $448,790           $1,864,954
                         =================   ================  ==================  ==================  ===================
                                                                                                       
Series C Units                                                                                         
                                                                                                       
JWH LLC                          $297,018           $207,966              $5,076                $345              $83,631
Millburn LLC                    1,379,039            235,001               5,737             236,772              901,529
                         -----------------   ----------------  ------------------  ------------------  -------------------
                                                                                                       
Total                          $1,676,057           $442,967             $10,813            $237,117             $985,160
                         =================   ================  ==================  ==================  ===================
                                                                                                       
Total All Units                                                                                        
                                                                                                       
JWH LLC                        $1,122,988           $784,392             $19,144              $1,704             $317,748
Millburn LLC                    5,207,111            885,917              21,626             894,208            3,405,360
                         -----------------   ----------------  ------------------  ------------------  -------------------
                                                                                                       
Total                          $6,330,099         $1,670,309             $40,770            $895,912           $3,723,108
                         =================   ================  ==================  ==================  ===================
</TABLE> 

                                       7
<PAGE>
 
    Condensed statements of financial condition as of March 31, 1998 and
  December 31, 1997 and statements of operations for the three months ended
  March 31, 1998 and 1997 are set forth as follows:

<TABLE> 
<CAPTION> 
                                                        1998                                       1997
                                        -----------------------------------------  ------------------------------------------
                                                JWH               Millburn                 JWH                Millburn
                                                LLC                  LLC                   LLC                   LLC
                                        -------------------- --------------------  --------------------  --------------------
<S>                                     <C>                  <C>                   <C>                   <C> 
Assets                                          $54,294,178          $33,747,360           $62,481,438           $35,584,936
                                        ==================== ====================  ====================  ====================

Liabilities                                        $431,357             $662,386            $1,122,533            $1,454,659
Members' Capital                                 53,862,821           33,084,974            61,358,905            34,130,277
                                        -------------------- --------------------  --------------------  --------------------

Total                                           $54,294,178          $33,747,360           $62,481,438           $35,584,936
                                        ==================== ====================  ====================  ====================

Revenues                                        $(4,026,600)            $553,011            $2,281,696            $5,750,149

Expenses                                          1,342,197              813,068             1,487,835             1,975,225
                                        -------------------- --------------------  --------------------  --------------------

Net (Loss) Income                               $(5,368,797)           ($260,057)             $793,861            $3,774,924
                                        ==================== ====================  ====================  ====================
</TABLE> 

                                       8
<PAGE>
 
3. INCOME (LOSS) PER UNIT

  The profit and loss of the Series A, Series B and Series C Units for the three
  months ended March 31, 1998 and 1997 is as follows:

<TABLE> 
<CAPTION> 
                                                       1998                                               1997
                              ------------------------------------------------- --------------------------------------------------
                                 Series A        Series B         Series C         Series A         Series B         Series C
                              --------------- ---------------- ---------------- ---------------- --------------- -----------------
<S>                           <C>             <C>              <C>              <C>              <C>             <C> 
REVENUES:                     
Income from investments            $(720,160)     $(1,549,547)       $(809,130)        $872,994      $1,864,954          $985,160
                              --------------- ---------------- ---------------- ---------------- --------------- -----------------
                              
Total revenues                      (720,160)      (1,549,547)        (809,130)         872,994       1,864,954           985,160
                              --------------- ---------------- ---------------- ---------------- --------------- -----------------
                              
                              
NET (LOSS) INCOME                  $(720,160)     $(1,549,547)       $(809,130)        $872,994      $1,864,954          $985,160
                              =============== ================ ================ ================ =============== =================
                                               
NET (LOSS) INCOME                                                                                                 
PER UNIT:                     
Weighted average number       
    of units outstanding              51,579          142,368           96,211           55,776         147,631           100,124
                              =============== ================ ================ ================ =============== =================
                              
Weighted average net          
    (loss) income per Limited 
    Partner and General       
    Partner Unit                     $(13.96)         $(10.88)          $(8.41)          $15.65          $12.63             $9.84
                              =============== ================ ================ ================ =============== =================
</TABLE> 

                                       9
<PAGE>
 

Item 2:  Management's Discussion and Analysis of Financial Condition and Results
of Operations

                  MONTH-END NET ASSET VALUE PER SERIES A UNIT
                                        
 
                               Jan.       Feb.       Mar.    
                    ---------------------------------------- 
                    1997       $273.52    $270.58    $267.94 
                    ---------------------------------------- 
                    1998       $281.00    $268.85    $270.14 
                    ----------------------------------------  


                  MONTH-END NET ASSET VALUE PER SERIES B UNIT
                                        
 
                              Jan.       Feb.       Mar.   
                    ---------------------------------------
                    1997      $222.32    $219.93    $217.78
                    ---------------------------------------
                    1998      $228.36    $218.48    $219.55
                    --------------------------------------- 


                  MONTH-END NET ASSET VALUE PER SERIES C UNIT
 
                               Jan.       Feb.       Mar.   
                    ----------------------------------------
                    1997       $173.26    $171.40    $169.73
                    ----------------------------------------
                    1998       $177.97    $170.27    $171.11
                    ---------------------------------------- 

Item 3.  Quantitative and Qualitative Disclosures About Market Risk
 
     Not Applicable
 
Performance Summary

January 1, 1997 to March 31, 1997

  In currency markets, the U.S. dollar rallied and started 1997 on a strong
note, rising to a four-year high versus the Japanese yen and two-and-a-half year
highs versus the Deutsche mark and the Swiss franc.  Currency trading was
profitable in January and February; March was, however, unprofitable.

  Global interest rate markets began the year on a volatile note, as investors
evaluated economic data for signs of inflation.  Interest rate trading was
profitable in March; losses were sustained in January and February.

January 1, 1998, to March 31, 1998

  The Fund's most profitable positions during the quarter were in the global
interest rate markets. In Europe, an extended bond market rally continued
despite an environment of robust growth in the United States, Canada and the
United Kingdom, as well as a strong pick-up in growth in continental Europe.

  Gold prices drifted sideways and lower as Asian demand continued to slow and
demand in the Middle East was affected by low oil prices.  Trading results in
stock index markets were mixed, but unprofitable, despite a strong first-quarter
performance by the U.S. equity market as several consecutive weekly gains were
recorded with most market averages setting new highs.  Results in currency
trading were also mixed, but unprofitable.  In particular, the Swiss franc
weakened versus the U.S. dollar.

                                      10
<PAGE>
 
                                 PART II - OTHER INFORMATION

Item 1.  Legal Proceedings

         There are no pending legal proceedings to which the Partnership or the
         General Partner is a party.

Item 2.  Changes in Securities and Use of Proceeds

         (a)  None.
         (b)  None.
         (c)  None.
         (d)  None. 

Item 3.  Defaults Upon Senior Securities

         None.

Item 4.  Submission of Matters to a Vote of Security Holders

         None.

Item 5.  Other information

         Mr. Michael A. Karmelin, Chief Financial Officer, Vice President and
Treasurer of Merrill Lynch Investment Partners Inc. ("MLIP"), has announced that
he will resign from MLIP effective April 15, 1998 to pursue other business
opportunities. MLIP expects to announce his successor in the near future.

Item 6.  Exhibits and Reports on Form 8-K.

         (a)  Exhibits
              --------

         There are no exhibits required to be filed as part of this report.

         (b)  Reports on Form 8-K
              -------------------

         There were no reports on Form 8-K filed during the first three months
         of fiscal 1998.

                                      11
<PAGE>


                                 SIGNATURES



Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.



                            JOHN W. HENRY & CO./MILLBURN L.P.



                            By:  MERRILL LYNCH INVESTMENT PARTNERS INC.
                                    (General Partner)



Date:  May 11, 1998         By /s/JOHN R. FRAWLEY, JR.
                               -----------------------
                              John R. Frawley, Jr.
                              Chairman, Chief Executive Officer,
                              President and Director



Date:  May 11, 1998         By /s/ SERGIO M. PAVONE
                               --------------------
                              Sergio M. Pavone
                              Vice President and Controller
                              (Chief Accounting Officer)