The structure and kinematics of the recognized stellar components of the Milky Way are explored, based on well-determined atmospheric parameters and kinematic quantities for 32360 calibration stars from the Sloan Digital Sky Survey (SDSS) and its first extension, (SDSS-II), which included the sub-survey SEGUE: Sloan Extension for Galactic Understanding and Exploration. Full space motions for a sub-sample of 16920 stars, exploring a local volume within 4 kpc of the Sun, are used to derive velocity ellipsoids for the inner- and outer-halo components of the Galaxy, as well as for the canonical thick-disk and proposed metal-weak thick-disk populations. We first examine the question of whether the data require the presence of at least a two-component halo in order to account for the rotational behavior of likely halo stars in the local volume, and whether more than two components are needed. We also address the question of whether the proposed metal-weak thick disk is kinematically and chemically distinct from the canonical thick disk. In addition, we consider the fractions of each component required to understand the nature of the observed kinematic behavior of the stellar populations of the Galaxy as a function of distance from the plane. Scale lengths and scale heights for the thick-disk and metal-weak thick-disk components are determined. Spatial density profiles for the inner- and outer-halo populations are inferred from a Jeans Theorem analysis. The full set of calibration stars (including those outside the local volume) is used to test for the expected changes in the observed stellar metallicity distribution function with distance above the Galactic plane in-situ, due to the changing contributions from the underlying stellar populations. [abridged]
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