Leveraging multiple simultaneous small cell connections is an emerging and promising solution to enhance session continuity in millimeter-wave (mmWave) cellular systems that suffer from frequent link interruptions due to blockage in ultra-dense urban deployments. However, the available performance benefits of feasible multi-connectivity strategies as well as the tentative service quality gains that they promise remain an open research question. Addressing it requires the development of a novel performance evaluation methodology, which should consider: 1) the intricacies of mmWave radio propagation in realistic urban environments; 2) the dynamic mmWave link blockage due to human mobility; and 3) the multi-connectivity network behavior to preserve session continuity. In this paper, we construct this much needed methodology by combining the methods from queuing theory, stochastic geometry, as well as ray-based and system-level simulations. With this integrated framework, both user- A nd network-centric performance indicators together with their underlying scaling laws can be quantified in representative mmWave scenarios. To ensure modeling accuracy, the components of our methodology are carefully cross verified and calibrated against the current considerations in the standards. Building on this, a thorough comparison of alternative multi-connectivity strategies is conducted, as this paper reveals that even simpler multi-connectivity schemes bring notable improvements to session-level mmWave operation in realistic environments. These findings may become an important reference point for subsequent standardization in this area. © 2017 IEEE.