DARIUS Henderson struck twice to heap yet more misery on Owen Coyle and Wanderers at The Den.
The big striker settled the game in the last minute with a well-taken angled shot after the ball had broken to him on the edge of the box.
He had also gave the Lions a well-deserved 1-0 lead going into the break against a Whites side that looked light years away from their pre-season billing as promotion favourites.
Chris Eagles equalised with a low free kick soon after the restart, but then went from hero to villain by smashing a penalty yards over the crossbar.
Although Wanderers improved in the second half, Millwall remained a threat on the break and secured all three points in the end to leave their partisan home fans in raptures.
Those heading back north were understandably upset after watching yet another performance littered with individual error, defensive fragility and unimaginative attack.
Millwall could have been well clear by the break, with Chris Wood and James Henry both missing clear cut chances.
The Whites could point to a penalty claim turned down by referee Gavin Ward after Liam Trotter appeared to handball Kevin Davies's shot, but it was the home side who were capitalising on some dreadful defending.
Keith Andrews thrashed over the Whites' best opportunity – but Coyle's men returned a different prospect in the second half and drew level when Eagles drilled a free-kick under the wall to level the scores.
A few minutes later, the winger – given dog's abuse all afternoon by the home fans – was tripped by Nadjim Abdou and stepped up to take the penalty he won.
His effort went miles over the bar, and reignited the fire under Millwall, who looked determined to regain their lead.
Henderson did just that in the final minute, angling his shot past the despairing dive of Bogdan, though Wanderers claimed there had been an earlier foul on Zat Knight.