The American Museum of Natural History holds an extensive archive of material relating to the expedition, including official correspondence before, during, and after the expedition, a full set of over 5000 negatives, and an extensive collection of ethnographic and archaeological material gathered during the expedition. Most are not yet available digitally. Images that have been scanned are here. Archival material is housed in the Research Library Department of Special Collections and can be searched via the library catalogue. Specimens collected by expedition members are managed by relevant departments at the museum.
The American Geographical Society Library, now held by the University of Wisconsin-Milwaukee, holds archival material relating to the expedition, some of which have been digitized. Digital resources can be found here. The complete finding aid including links to digital resources is here (scroll down to find MacMillan).
The University of Illinois houses photographs and collections from the expedition at the Spurlock Library. Their collection can be explored here.
The Georgetown University Library holds the papers of Fitzhugh Green, one of the members of the expedition. The finding aid for the Crocker Land materials in this collection is here.
The Library of Congress holds the only surviving film footage from the expedition. It has been digitized and can be seen here.