We present the design, implementation, and evaluation of MiFly, a self-localization system for autonomous drones that works across indoor and outdoor environments, including low-visibility, dark, and GPS-denied settings. MiFly performs 6DoF self-localization by leveraging a single millimeter-wave (mmWave) anchor in its vicinity - even if that anchor is visually occluded. MmWave signals are used in radar and 5G systems and can operate in the dark and through occlusions. MiFly introduces a new mmWave anchor design and mounts light-weight high-resolution mmWave radars on a drone. By jointly designing the localization algorithms and the novel low-power mmWave anchor hardware (including its polarization and modulation), the drone is capable of high-speed 3D localization. Furthermore, by intelligently fusing the location estimates from its mmWave radars and its IMUs, it can accurately and robustly track its 6DoF trajectory. We implemented and evaluated MiFly on a DJI drone. We demonstrate a median localization error of 7cm and a 90th percentile less than 15cm, even when the anchor is fully occluded (visually) from the drone.