(Made a typo. Corrected below.)

Quite frankly, I would use Access (database) for this task.
Name the large (1 million part numbers) file Master.
Name the smaller (2,500 part numbers) file PartNumbers (<=correction here).
Import each into its own table by the same name, with the data in a field
named PartNumber.
Then build a query to join the 2 tables together.

SELECT Master.PartNumber, PartNumbers.PartNumber
FROM Master LEFT JOIN PartNumbers ON Master.PartNumber =
PartNumbers.PartNumber;

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Regards,
Bill Renaud