Mailchimp connects with a single API key. The data centre part (like us14) is read from the end of the key, so there is nothing else to type. The plugin then lists your audiences in every list dropdown.
Where to find it:

Go to Free List Building → Autoresponders and find the Mailchimp card.
Where to find your API key:
- Log in to Mailchimp.
- Click your profile icon and open Account and billing.
- Go to Extras → API keys.
- Click Create A Key, name it, and copy the key. It ends with a dash and your data centre, for example -us14.
Step by step:

- Paste the key into API Key (includes server prefix, e.g. xxx-us14).
- Click Connect. The card shows Connected and the first characters of the key.
- Click Test Connection to check it.
- Pick your audience in Default List. Your choice is saved straight away and filled in on every funnel that has no list yet.
- Use Apply to Funnels Without a List or Apply to ALL Funnels if you want to set it on more funnels.
What happens on each opt-in:
The plugin adds or updates the person in your audience with their email, first name (as FNAME) and signup IP. New people are added as subscribed. People already in the audience keep their current status, so someone who unsubscribed in the past is not added back.
Per funnel:

On a funnel's edit page, leave Autoresponder Provider on Use Global Default (mailchimp) to use your default audience, or choose Mailchimp and pick another audience in the field called Audience.
A real example:
Sam Rivera uses Mailchimp as the default for yoursite.com, with the audience Your Site Newsletter. Most funnels use it. Workshop sign-up pages use a second audience, Workshop Signups, set on those funnels' edit pages.
Tips:
- Mailchimp audiences are kept for 24 hours. After you create a new audience, click Refresh Lists.
- Turn on Collect First Name in Settings so FNAME is filled for your merge tags.
- If an opt-in fails, the Debug Log in Settings shows Mailchimp's own reply, which usually names the exact field.