McKillop is 500-300 in 27 years, all at Davidson. He became the 19th coach to win 500 games in his first collegiate head-coaching job.
The Wildcats are off to a 4-0 start for the first time in McKillop's tenure.
Jett Speelman led the Division III Big Red (2-2) with 20 points.
Denison was 15 of 37 on 3-pointers while Davidson was 19 of 27 on free throws.
Davidson ended the first half on a 10-2 run for a 45-37 lead. Sullivan's 3-pointer with 5:54 left in the game gave the Wildcats a 19-point lead.