Millwall's proud unbeaten Championship run of nine games came to an end in a pulsating encounter at the Walkers Stadium that saw Kenny Jackett's men finish with 10 men.
In a breathtaking match The Lions missed an early penalty through Steve Morison, went a goal behind to Lloyd Dyer (7mins) only to level with a spectacular effort from James Henry (9mins).
But The Foxes looked to be well in command as further first-half goals from Yakubu (22mins) and Sol Bamba (34mins) fired them into a 3-1 lead.
When Jack Smith reduced the arrears from the spot on 68 minutes it was all set for a grandstand finish with The Lions sensing that Leicester were wobbling.
But in 60 short seconds Millwall debutant Jens Berthel Askou wa shown a straight red card for a challenge in Yakubu and from the resulting free-kick Bamba bundled home his second goal - and Leicester's fourth.
"They were poor goals to give away and we didn't defend well enough," said Kenny Jackett. "We gave ourselves a mountain to climb and at times we looked like climbing that mountain. But we let ourselves down with the defending, particularly from set pieces."
On Askou's red card he added: "My first impression was it was a harsh decision. The ref had just given us a penalty, not given Leicester one and with the crowd baying, when anything contentious happened, he got the red card out very quickly. That was my first impression."
Leicester came into this game unbeaten in the league since the turn of the year whilst The Lions had not tasted a Championship defeat since 13th November at the hands of Sheffield United.
Millwall were handed a golden opportunity to get off to a perfect start when, with just 90 seconds on the clock, Theo Robinson was upended in the area by Ben Mee and referee Eddie Ilderton had no hesitation in pointing to the spot. Up stepped top scorer Morison to take the resulting penalty, only to blaze over the bar - his second successive miss from the spot.
Making the most of their let off, Leicester took the initiative - and subsequently the lead. Lloyd Dyer turned on the pace, played a neat one-two with Richie Wellens and poked the ball over the onrushing David Forde.
But the celebrations were cut short barely two minutes later when Jimmy Abdou headed on to James Henry, he in turn controlled the ball before unleashing an unstoppable left-foot rocket into the top corner giving keeper Chris Weale no chance.
Spurred on by this it was The Lions who charged forward in search of a second goal and on the quarter hour Morison nearly atoned for his earlier miss with a powerful run down the right and into the danger zone. Unfortunately his final pass was too close to keeper Weale, and he cut out Morison's intended target, the unmarked Danny Schofield who was hovering by the penalty spot.
However it was The Foxes who restored their advantage with a soft goal on 24 minutes that would have infuriated manager Jackett. There seemed minimal danger when Yakubu picked up the ball with Jack Smith in close attendance. However the Nigerian international gained an extra yard and hit a low angled shot that although lacking in power, still squirmed beyond Forde in the Millwall goal.
It took an athletic tip-over by Weale from Morison's header to preserve The Foxes lead - and an awful decision by the ref to assist the home side for their third goal.
Forde had already made a smart stop from Dyer's snap-shot and then watched as the same player sent a left-foot drive fizzing inches wide as Leicester enjoyed a brief spell of pressure.
But then Scott Barron was penalised for a foul on Darius Vassell when he had quite clearly cleanly won the ball with a perfectly good tackle. Wellens swung over a freekick and with The Lions caught off guard, there was Bamba to bundle the ball home from close range.
It could have been worse for the visitors when former Lions loanee Dyer was on the end of a slick attacking move, but thankfully steered his low effort through a crowd of players and a whisker past the left-hand post.
Jackett handed new signing Darren Purse a debut in a half-time reshuffle that saw Jack Smith shift to right back, Alan Dunne pushed into midfield and Henry join Morison up front.
But it was the hosts who picked up where they left off and Andy King sent a header wide after Kyle Naughton picked him out following his trickery down the right, But then Millwall were presented with two good chances to reduce the arrears. A foul on Chris Hackett saw an inswinging free-kick find it's way to Purse unmarked six yards out. But the debutant powered a header over the bar. Seconds later, good work from Morison allowed him to drive forward, before playing a ball across the front of Weale that Henry was inches away from connecting with.
It was a case of deja vu a couple of minutes later, this time Morison headed on to Hackett and his inviting delivery from the right was crying out for a boot to be swung out to connect with the ball.
Hackett then glided past two defenders into the area and again sent a low ball begging for someone to attack it.
Leicester had a double penalty appeal turned down after 60 minutes. Forde looked to have brought down Dyer, then from the resultant scramble, a goalbound Leicester effort looked to have struck the outstetched hand of Purse.
Play swung up the other end and when Hackett was upended Mr Ilderton pointed straight to the spot. This time Morison handed spot-kick duties over to Smith and he made no mistake to reduce the arrears and put The Lions within touching distance of their opponents at 3-2.
No sooner had they got a glimmer of hope than the lights effectively went out for Millwall in a desperate 60 seconds that saw debutant Jens Berthel Askou harshly shown a straight red for a challenge on Yakubu. The on-loan defender had barely left the field when Bamba was on hand to bundle home his second via the post and Purse.
Purse though would redeem himself minutes later when sub Martyn Waghorn fed Yakubu down the left. The big striker powered his way into the box before shaping to shoot. Just as he was about to pull the trigger, there was new boy Purse with a brilliant tackle to thwart him.
Although the final whistle brought the curtain down a fine unbeaten run for Jackett's men, The Lions have proved on previous occasions more than capable of regrouping and starting another run all over again.
Jackett will be determined to make sure that is the case when Barnsley visit The Den in six days' time.
Leicester City: Weale, King, Dyer (Waghorn, 83mins), Berner, Naughton, Wellens, Abe, Yakubu (Howard, 87mins), Bamba, Mee, Vassell. Subs not used: Teixeira, Oakley, Logan, Moussa, Hobbs.
Booking: Berner (65mins)
Scorers: Dyer (7mins), Yakubu (22mins), Bamba (34, 72mins)
Millwall: Forde, Dunne, Barron, Abdou, Smith, Berthel Askou, Schofield (Lisbie, 78mins), Hackett, Robinson (Purse, 46mins), Morison, Henry. Subs not used: Mildenhall, Trotter, Grabban, Harris, Marquis.
Sending off: Berthel Askou (71mins)
Scorer: Henry (9mins), Smith (68mins, pen)
Ref: E. Ilderton