Finished the MLE loop at Bain last quarter. Applied for their Advanced Analytics team, which does actual ML work for client engagements, not just dashboards. Here's the honest debrief.
What the role actually is: MLE at a consulting firm is different from an MLE at a product company. You're not owning a model in production indefinitely. You're building models for a specific client project over a 6-12 month engagement, then potentially rebuilding a different model for a different client. If you want to obsess over latency optimization for one recommender system for three years, this isn't it. If you want breadth and variety, this is interesting.
The loop (5 rounds total): Recruiter screen: 30 min. Mostly fit and background. She asked what domain I'd worked in, which I took as a signal they try to match candidates to relevant practice areas. ML fundamentals: 60 min with a senior data scientist. Walked through bias-variance tradeoff, cross-validation pitfalls, feature importance vs. SHAP values, and a question about handling class imbalance in a client dataset where oversampling isn't appropriate. Real questions, not trivia. Case + ML design: This is the consulting-flavored round. They gave me a scenario: a retail client wants to predict which stores will underperform next quarter. Walk me through your approach. I structured it: define the prediction target, think about data availability, pick a model family and explain why (they were happy with gradient boosting over neural nets given tabular data and interpretability needs), talk about evaluation metrics, then deployment and monitoring. The key was tying every technical choice back to what the client actually needs. Coding: Python. One data cleaning exercise (pandas, messy datetime column, duplicates with different schemas). One algorithm question that was basically a graph traversal dressed up as a supply chain problem. Medium difficulty. No DP. Behavioral: Standard senior behavioral questions plus 'how do you communicate model uncertainty to a client who expects a yes/no answer.' Have a real answer for that one.
Comp for senior MLE in Boston: my offer was around $155k base with what they called a performance bonus that sounded like it could add meaningful upside. Not big-tech RSU money but not nothing.