“Milieu” is a loanword, or a word taken from another language with no modification. In French, “milieu” means “middle” or, similar to the English usage, “the setting or environment.” There’s also a French phrase, “au milieu de,” which means “in the middle of.” The original usage of “milieu” in English was to describe one’s place in society — as a member of the upper-crust milieu, for example. The definition has since expanded to denote one’s general neighborhood and environmental surroundings, not just their social standing. The word is also commonly used in arts contexts to describe atmosphere and ambiance.