Steve Morison's 89th minute penalty condemned Sheffield United to defeat at The Den this afternoon.
The former Leeds and Norwich City marksman sent debutant Simon Moore the wrong way from the spot after Jack O'Connell was ruled to have handled the ball.
Chris Wilder's players seemed on course to secure the point their efforts deserved after Stefan Scougall had cancelled-out Shaun Williams' opener. But, after succumbing to a last gasp sucker punch, they return to South Yorkshire still searching for their first win of the new season.
United, understandably, looked crestfallen at the final whistle.
Earlier, the rhythm of this League One fixture had ebbed and flowed. Millwall started brightly with Williams converting before Wilder's charges imposed themselves. Scougall's equaliser was certainly lucky, with a wicked deflection leaving Jordan Archer stranded, but it was also deserved.
Mark Duffy dragged wide during the second period after Lee Gregory had twice gone close for the hosts.
Although Millwall looked marginally sharper in the second-half, United had enjoyed the better of the first.
So, when Morison converted with only a minute of normal time remaining, it was a desperately cruel blow for Wilder and his team.
O'Connell, who seconds earlier had denied the centre-forward with an excellent block, was adjudged to have handled the ball by referee Andy Woolmer and Morison did the rest.
United and Millwall had both suffered heavy defeats en route to this game. Wilder responded by making four changes to his starting eleven although two of those - with John Fleck nursing an injury and John Brayford joining Burton Albion on loan - were enforced.
After conceding three times in the opening 15 minutes against Southend four days earlier, United's first task was avoiding a similar collapse here. With Scougall firing over from long distance and Millwall still smarting from a 5-1 reverse at Peterborough in midweek, they appeared on course to complete it in relatively simple fashion. Until, not for the first time this season, a defensive lapse presented the opposition with a chance to take the lead. David Worrall's 15th minute corner should have been cleared. But, much to Chris Basham's disgust, it wasn't and Williams duly scored.
United, who had earlier seen Leon Clarke come within a whisker of connecting with Duffy's cross, could have crumbled. Instead, in stark contrast to events last time out, they regathered their composure and produced a response. Kieron Freeman made progress down the flank before cutting inside and playing a short square pass to Scougall. His 22nd minute shot took a deflected off Tony Craig and nestled in the back of Archer's net.
Clear cut opportunities were at a premium during the remainder of the half. But, for the most part, it was United who appeared more likely to win the armwrestle.
Clarke's step-over and feint fooled Millwall's rearguard following another Freeman centre. Unfortunately, it caught the rest of his team mates off guard too. Then, Freeman's drilled a third low cross deep in to the heart of Archer's six yard box but nobody could get a decisive touch.
Millwall wrestled back the momentum at the beginning of the second period. Twice Lee Gregory found himself with a clear sight of goal and twice, strangely for a player who was so deadly in the penalty area last season, he fluffed his lines. First, the former United trainee sliced over the crossbar from close-range before being sent scampering clean through. On this occasion, the striker's shot was on target. Moore, however, stood tall, smothered it and then cleared his lines. It was an excellent block from United's new goalkeeper and he did well again soon after, darting out of the box to punt a loose ball upfield.
At the other end, in the 58th minute, a patient passage of play saw Wilder's men forge an opening of their own. Paul Coutts, Billy Sharp and Scougall were all involved before Freeman found Duffy lurking 12 yards from goal. As the supporters behind Archer's goal held their breath, the midfielder adjusted his feet but failed to make a clean connection and dragged his attempt wide of the far post.
As the tempo of the contest increased, so did the quality of both team's play. Byron Webster released Gregory in the 64th minute but the angle, further narrowed by Moore, proved too acute for him to score.
Then came the late and, from United's perspective, bitter twist. Morison, who had earlier been denied by Moore, was thwarted by O'Connell's interception. Seconds later, though, the United defender was pulled-up for handball and the 32-year-old did the rest.
Millwall: Archer, Martin, Craig, Williams, Worrall, Thompson, Gregory (Onyedinma 80), Romeo, Webster, Morison, O'Brien (Ferguson 69). Not used: King, Onyedinma, Wylde, Nelson, Abdou, Philpot.
Sheffield United: Moore, Hussey, O'Connell, Basham, Scougall (Chapman 80), Sharp (Done 64), Coutts, Freeman (McNulty 89), Wilson, Duffy, Clarke. Not used: Ramsdale, Wright, K Wallace, Whiteman, Chapman.
Referee: Andy Woolmer (Northamptonshire).
Attendance: 9,058 (785)