But it found that women wouldn’t just work anywhere - 83 per cent said they sought out employers with a strong record on diversity and equality.
Researchers also interviewed women from 74 other countries, of whom 86 per cent said they were part of a dual-career couple. Out of the 8,756 interviewed in total, 42 per cent of women said they earned the same as their partner or spouse.
When asked why they might leave their current employer, 19 per cent of female millennials said they were starting a family and wanted to spend more time at home, compared to 18 per cent of male millennials.
Women in Brazil (76 per cent), India (76 per cent) and Portugal (68 per cent) were the most confident.
Out of 35 countries, the UK's female millennials came 21st - along with Australia and Hong Kong - for confidence in the workplace.
Women in Japan (11 per cent), Kazakhstan (18 per cent) and Germany (19 per cent) were the least confident.
Gaenor Bagley, head of diversity at PwC, said: “Our research shows that we are seeing a new era of female talent with ambitious and highly educated women entering the workforce in larger numbers than any previous generation.
“But, this is not the only thing that has changed. They also enter the workforce with a different career mind-set. They are ambitious and are looking to progress, but are conscious that not all employers will create the right environment for them to do this.
“If employers want to attract more than their fair share of this talented workforce, they need to show that they are taking diversity seriously.”