Andy Reid's first-half strike sent The Lions tumbling to a third home Championship defeat of the season as Sheffield United grabbed maximum points on an afternoon of total frustration for Millwall.
Reid struck the decisive goal on 29 minutes with a classic counter-attack after a misplaced pass by John Marquis was capitalised on ruthlessly.
On the balance of play in the opening half, Gary Speed's side hardly deserved to be ahead by the break, but the fragility of Millwall's performance in the second period will be of some concern with testing away games at Middlesbrough and Preston looming.
"The bottom line is results, and that's important to recognise," said manager Kenny Jackett.
"In the first-half we had chances, but in the second the confidence drained out of us. I thought it looked like a penalty when the keeper wrapped himself around Steve Morison and we needed a break like that.
Some of our football was very good today, but we couldn't break them down. We've scored one goal in two home games and that makes it a tough ask."
Millwall were left wondering just how they failed to score from one of a plethora of opportunities in an opening 45 minutes that should have seen Jackett's side establish a comfortable lead.
A combination of wasteful finishing and solid rearguard work by the Blades snuffed out The Lions time and time again.
A slick attacking move on six minutes saw defenders Danny Shittu and Scott Barron exchange passes before left-back Barron upped the tempo with a delightful pass to Danny Schofield on the left. Barron sprinted forward in support, picked up the ball again from Schofield on the edge of the area but then overhit his final pass, and the ball spun away for a goal-kick.
The persistence of Marquis nearly paid off seconds later, as Blades defender Stephen Jordan lost possession under pressure, Morison quickly fed James Henry and the latter's stinging goalbound effort was deflected for a corner.
Morison's looping header from a Henry corner after 12 minutes was cleared off the line and almighty scramble ensued before the danger was finally averted.
Morison, back in the side after serving a one-match suspension, saw an instinctive first-time shot gathered by Steve Simonsen in the 19th-minute before Marquis appeared to be grabbed around the midriff preventing him for connecting with Henry's cross a couple of minutes later.
Shittu really should have done better, sending a free header from Henry's free-kick over the bar and Liam Trotter, subdued by his high standards, had an effort deflected for another corner.
But The Lions were left reeling just before the half-hour mark when The Blades stole the lead.
An underhit pass by Marquis deep in the visiting half was intercepted by Mark Yeates, he in turn broke forward and picked out Reid with an inch-perfect pass. Although Scott Barron did well to make up ground, Reid managed to move the ball slightly to the left and hit a rising drive that flew into the top corner off the underside of the bar.
Morison did have a great chance to level in the dying seconds, but he powered his header from another Henry delivery off target.
Having created a number of chances in the half, there was reason to be optimistic as the teams came out again at the start of the second.
Marquis hooked narrowly over the bar 27 seconds after the restart and then Trotter directed a header almost apologetically wide from Barron's hanging delivery as The Lions tried to build up a head of steam.
However, to the frustration of manager Jackett and dismay of The Den faithful, The Lions then seemed to let their heads drop and thus made it all too easy for the visitors to see out the game comfortably.
Sub Neil Harris' angled drive was blocked for a corner, skipper Paul Robinson headed over from a Henry corner and then both teenage sub Kiernan Hughes-Mason and Morison ended up on the deck, the latter's shout for a penalty a very strong case after he appeared to be impeded by keeper Simonsen.
But unfortunately these proved to be all too rare moments of excitement in the United goalmouth and keeper Simonsen remained largely untested as The Lions finished with a whimper instead of an attacking flurry.
Millwall: Forde, Dunne, Barron, Trotter, Robinson, Shittu, Schofield (Hackett, 57 (Hughes-Mason, 77mins), Mkandawire, Marquis (Harris, 57mins), Morison, Henry. Subs not used: Mildenhall, Craig, Ward, Abdou.
Bookings: Robinson (15mins), Barron (76mins)
Sheffield United: Simonsen, Jordan, Nosworthy, Montgomery, Britton, Evans (Cresswell, 67mins), Yeates (Taylor, 82mins), Calve (Ertl, 75mins), Bartley, Reid, Lowton. Subs not used: Bogdanovic, Zozluk, Wright, Slew.
Scorer: Reid (29mins)
Att: 11,312 (away 918)