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Whether single-molecule trajectories, observed experimentally or in molecular simulations, can be described using simple models such as biased diffusion is a subject of considerable debate. Memory effects and anomalous diffusion have been reported in a number of studies, but directly inferring such effects from trajectories, especially given limited temporal and/or spatial resolution, has been a challenge. Recently, we proposed that this can be achieved with information-theoretical analysis of trajectories, which is based on the general observation that non-Markov effects make trajectories more predictable and, thus, more “compressible” by lossless compression algorithms. Toy models where discrete molecular states evolve in time were shown to be amenable to such analysis, but its application to continuous trajectories presents a challenge: the trajectories need to be digitized first, and digitization itself introduces non-Markov effects that depend on the specifics of how trajectories are sampled. Here we develop a milestoning-based method for information-theoretical analysis of continuous trajectories and show its utility in application to Markov and non-Markov models and to trajectories obtained from molecular simulations.