The Millers learned about life in the Championship the hard way as they failed to make their dominance count against Watford at the New York Stadium.
Rotherham were in control for much of the game but saw Watford snatch all three points with two goals late in the game.
Lloyd Dyer scored 16 minutes from time before Gianni Munari made sure of the win for the Hornets with three minutes to go.
Steve Evans’ men were particularly dominant in the first half and were left to rue their profligacy in front of goal.
Paul Taylor almost capped a fine performance with a goal when receiving a pass from Ben Pringle only to fire over the bar from 12 yards.
Taylor enjoyed a strong start to the game for Rotherham and was at the centre of their best work in the early stages.
He sent Paul Green free into the box with a fine backheel only for the midfielder to lose his footing.
Taylor then played in Pringle to shoot from the edge of the area but Heurelho Gomes produced a fine save.
Watford had a shout for a penalty on 26 minutes when Adam Collin clattered into Troy Deeney when attempting a punch but the referee waved play on.
Craig Morgan met a Pringle corner with a header only to send the ball narrowly over the bar on the half hour.
The Millers almost made their dominance count on the stroke of half time when Lee Frecklington drilled a fine effort which drew an excellent save from Gomes.
It took a fine double block from Joe Skarz to keep out Watford five minutes after the break.
Kirk Broadfoot lashed a shot just past the post from a Kari Arnason long throw.
The visitors did have the ball in the back of the net midway through the half through Ighalo but it was ruled out for offside.
But when the ball crossed the line next it would count.
Odion Ighalo danced into the area and shot with Adam Collin parrying away but straight into the path of Dyer who drilled high into the net to put Watford in front.
And Watford made sure of the points three minutes from time when Munari added the second, drilling past Collin from a tight angle.
Then Munari drilled past Collin from a tight angle to make sure of the points.
The Millers were dominant during the first half against Watford and probably should have opened the scoring early in the second.
Rotherham United: Collin, Broadfoot, Morgan, Arnason, Skarz, Frecklington, Green, Smallwood, Pringle, Taylor, Revell. Subs: Loach, Wood, Bowery, Newton, Tidser, Swift, Derbyshire.
Watford: Gomes, Munari, Angella, Andrews, Deeney, Paredes, Tamas, Fabbrini, Vydra, Anya, Hoban. Subs: Bond, Tozser, Forestieri, Doyley, Abdi, Dyer, Ighalo.