Substitute Magaye Gueye smashed in a stoppage time equaliser to deny Sheffield Wednesday their first home league win of the campaign.
The French forward made no mistake from 12 yards out after a great cut back by Carlos Edwards, rifling a right foot shot past Keiren Westwood to cancel out Chris Maguire’s 57th minute opener.
It looked as if the Owls would hang on for maximum points after Shaun Williams missed a controversial late penalty but Gueye’s strike ensured both teams remain unbeaten.
It was a patchy performance by Wednesday, playing their fourth match in ten days, and they lacked rhythm and looked a yard off the pace at times.
Gueye’s goal is the first time Stuart Gray’s backline has been breached this season.
Nonetheless, the Owls will be more than satisfied to have picked up five points from their opening three Championship fixtures, especially considering they have played two sides who finished in the play-off positions last term.
Gray made one alteration from the team who impressed in Saturday’s goalless draw with promotion favourites Derby County.
With influential midfielder Kieran Lee ruled out due to his niggling groin injury, Gray handed Jose Semedo his first league start of the season. Lee’s vision and passing range was sorely missed in the middle of the park.
In the corresponding fixture last year, the Lions forgot to bring their away kit, meaning they had to borrow the Owls old away strip but there were no such dramas this time around.
It was the visitors who had the first sight of goal in the 11th minute after Sam Hutchinson clumsily brought down Williams but Lee Martin curled the resulting 25-yard free kick wide of Keiren Westwood’s left hand upright.
Wednesday responded as Atdhe Nuhiu rose highest to power a header just over after a lovely corner by Chris Maguire.
The visitors, looking to extend their unbeaten run to 12 matches, dominated possession in the early skirmishes without ever appearing capable of breaking down the Owls’ well organised backline.
From open play, Wednesday struggled to string things together in the opening half an hour, with Tom Lees’ downward header from Jacques Maghoma’s corner comfortably gathered by David Forde.
Martyn Woolford wasted a glorious opportunity to give Millwall the lead in the 37th minute after he raced on to Lee Gregory’s neat pass only to lift his shot over the top.
Moments later, Maghoma latched on to a weak clearance by Forde and burst forward at pace. He tried to cut in on his right foot and tumbled to the ground after a challenge by Williams but referee Nigel Miller waved away his penalty claim.
Westwood had to be alert to stop Scott McDonald from sneaking in after Glenn Loovens’ underhit back header.
The two sides cancelled each other out in the first half but Maguire’s strike opened things up, forcing Lions boss Ian Holloway into throwing on strikers Ricardo Fuller and Magaye Gueye.
The forwards dovetailed effectively just after the hour mark and Fuller’s low shot from an acute angle was well blocked by Loovens.
Millwall were enjoying a good spell as Woolford unleashed a left foot piledriver from distance which flew agonisingly off target.
Gray was forced into a midfield reshuffle, with Hutchinson, who opted to join Wednesday on a permanent basis in the summer despite Millwall’s overtures, limping off with an injury.
The Owls continued to press for a second and Maguire drilled a venomous left shot narrowly over.
With six minutes left, Millwall were awarded a penalty after Westwood was adjudged to have brought down Martin. The Republic of Ireland international was yellow carded following the collision. Williams stepped up to take the spot-kick but the midfielder struck the post and Liam Palmer cleared the follow up.
Millwall piled on the pressure and Malone blazed over from just outside the 18-yard box.
Things threatened to boil over in the dying minutes as Loovens and Fuller squared up to each other and Miller booked them both following the altercation off the ball. Ultimately, Gueye had the final say.