Understanding how to interpret the most controversial section of the Old Testament can be a challenge, but I think that once we get a good grip on how Orthodox Saints really look at the Old Testament, the issue of the Midianites can change a bit in our mind.
This is actually another opportunity for us to observe that Orthodoxy has a great advantage over Protestantism who always insists on the Bible alone as a source for wisdom, and stands completely committed to interpreting things in their original OT context without expounding on it from the perspective of the Saints.
The Saints are the key to interpreting anything, for men who live such holy lives and have an intense connection to God are the ones with insights on how to approach the totality of the Bible, not those who think they are qualified to do the whole thing by themselves.
Art depicting the Midianites, taken from Free Bible Images dot org - this is actually in reference to Gideon pursuing the Midianite Army with his 300 men which would happen later, and not reference to the army of Phinehas.
Let us go back to the 7th century theologian St. Maximos the Confessor:
Interpretation of the outward form of Scripture according to the norms of: sense-perception must be superseded, for it clearly promotes the passions as well as proclivity towards what is temporal and transient. That is to say, we must destroy the impassioned activity of the senses with regard to sensible objects, as if destroying the children and grandchildren of Saul (cf 2 Sam. 21:1-9); and we must do this by ascending to the heights of natural contemplation through a mystical interpretation of divine utterances, if in any way we desire to be filled with divine grace.
'The letter kills." says Scripture, 'but the Spirit gives life' (2 Cor. 3:6). Consequently, the letter whose nature it is to kill must be killed by the life-giving Spirit. For what is material in the Law and what is divine - namely, the letter and the Spirit - cannot coexist, nor can what destroys life be reconciled with that which by nature bestows life.
The Spirit bestows life, the letter destroys it. Thus the letter cannot function at the same time as the Spirit, just as what gives life cannot coexist with what destroys life and the prejudice from which he suffers as a result. This is to show
Uncircumcision is natural. Everything that is natural is the work of divine creation and is excellent: 'And God saw everything that He had made, and, behold, it was very good" (Gen. 1:31). But the Law, by demanding on the grounds of uncleanness that the foreskin should be cutaway by circumcision (cf. Gen. 17:10-14), presents God as amending His own work through human skill. This is a most blasphemous way of looking at things. He, then, who interprets the symbols whereby the Law is expressed in the light of knowledge attained through natural contemplation, knows that God does not set nature aright by means of human skill, but bids us circumcise the passible aspect of the soul so as to make it obedient to the intelligence. This is indicated figuratively in terms of the body, and means that we are to excise the flaws from our will by means of spiritual knowledge acquired through the courageous practice of the virtues. The circumcising priest signifies spiritual knowledge, and the knife he uses is the courageous practice of the virtues, which cuts away the passions. When the Spirit triumphs over the letter, the tradition of the Law is abolished.
from Various Texts on Theology, the Divine Economy, and Virtue & Vice, sections 40-42
Which shows us essentially that the surface interpretations of even basic commands concerning circumcision are wrong, and that the Old Testament must be read completely in the illumination of the coming of Christ.
This is also backed up by St. Ireneous:
If anyone, therefore, reads the scriptures this way, he will find in them the Word concerning Christ, and a foreshadowing of the new calling. For Christ is the “treasure which was hidden in the field” [Mat. 13:44] [a treasure] hidden in the scriptures, for he was indicated by means of types and parables, which could not be understood by human beings prior to the consummation of those things which had been predicted, that is, the advent of the Lord. And therefore it was said to Daniel the prophet, “Shut up the words and seal the book, until the time of the consummation, until many learn and knowledge abounds. For, when the dispersion shall be accomplished, they shall know all these things” [Dan. 12:4, 7]. And Jeremiah also says, “In the last days they shall understand these things ” [Jer. 23:20]. For every prophecy, before its fulfillment, is nothing but an enigma and amibiguity to human beings; but when the time has arrived, and the prediction has come to pass, then it has an exact exposition [exegesis]. And for this reason, when at this present time the Law is read by the Jews, it is like a myth, for they do not possess the explanation [exegesis] of all things which pertain to the human advent of the Son of God: but when it is read by Christians, it is a treasure, hid in a field, but brought to light by the Cross of Christ, and explained, both enriching the understanding of humans, and showing forth the wisdom of God, and making known his dispensations with regard to human beings, and prefiguring the kingdom of Christ, and preaching in anticipation the good news of the inheritance of the holy Jerusalem, and proclaiming beforehand that the one who loves God shall advance so far as even to see God, and hear his Word, and be glorified, from hearing his speech, to such an extent, that others will not be able to behold his glorious countenance [cf. 2 Cor. 3:7], as was said by Daniel, “Those who understand shall shine as the brightness of the firmament, and many of the righteous as the stars for ever and ever” [Dan. 12:3]. In this manner, then, I have show it to be, if anyone read the scriptures.
St. Irenaeus, The Treasure Hid in the Scriptures is Christ
So, we are left with the concept of circumcision itself being interpreted radically different, in light of Christ, by St. Maximos the Confessor, which completely changes the way we view the traditions and culture of the Hebrews. Christ has unlocked the meaning.
St. Maximos is constantly referring to Old Testament passages in this way. And so do other saints...
Another example people who criticize the Bible like to bring up is the famous Psalm that talks about bashing in the heads of children (137:9 - happy is the one who seizes your infants and dashes them against the rocks!).
4th century monastic St. John Cassian has a completely different way of interpreting this:
The way to keep guard over our heart is immediately to expel from the mind every demon-inspired recollection of women - even of mother or sister or any other devout woman - lest by dwelling on it for too long the mind is thrown headlong by the deceiver into debased and pernicious thoughts. The commandment given by God to the first man, Adam, told him to keep watch over the head of the serpent (cf. Gen. 3:15. LXX), that is, over the first inklings of the pernicious thoughts by means of which the serpent tries to creep into our souls. If we do not admit the serpent's head, which is the provocation of the thought, we will not admit the rest of its body - that is, the assent to the sensual pleasure which the thought suggests - and so debase the mind towards the illicit act itself. As it is written, we should 'early in the morning destroy all the wicked of the earth' (Ps. 101:8), distinguishing in the light of divine knowledge' our sinful thoughts and then eradicating them completely from the earth - our hearts - in accordance with the teaching of the Lord. While the children of Babylon - by which I mean our wicked thoughts - are still young, we should dash them to the ground and crush them against the rock, which is Christ (cf Ps. 137:9; 1 Cor. 16:4). If these thoughts grow stronger because we assent to them, we will not be able to overcome them without much pain and labour. On the Eight Vices
So the tradition of Christians is to actually look at the Old Testament in the light of Christ, and to offer radical interpretations of what had occurred.
We can go back to these moments and instead of interpreting them with total literalism, see them as true stories but with extra layers in them for us to interpret in our own time in the light of Christ. The destruction of all but the virgins is then a different kind of symbol...
Just as how the Midianites were interpreted by St. Neilos the Ascetic:
The Midiamtes symbolize the passions of unchastity, because it was they who introduced this vice into Israel and deceived a great number of the young people (cf. Num. 31 :9). Scripture aptly says that the Midianites had tents while Jerusalem had a wall; for all the things that contain virtue are well-founded and firm, whereas those that contain vice are an external appearance - a tent - and are no different from fantasy. Ascetic Discourse
(All of the above texts with the exception of St. Irenaeus can be found in the Philokalia)
In this we have the real means of interpreting these difficult passages in the context of Christ. Once upon a time, political realities made it so that these sorts of actions were inevitabilities for survival, and were absolute norms, but it is in the retrospective of Christ we see the real purpose for these things having occurred, and the actual symbolism behind them. We can refer to the typical answers you read at places like Got Questions for understanding them in the original context.
Let us also keep in mind: the Midianites appear again in Joshua 6-8, implying that not all Midianite men were put to the sword. Some survived to come back, at which point Gideon would go to battle with them again. At this point, there is no such command to kill all, or any instructions concerning virgins at all. Critics would say that this is God's will changing again... But this is not pointed out because it shows a fundamental shift towards what moderns would think is a more enlightened position.
