David Meyer's goal after just 34 seconds sent The Lions spinning to a third successive League defeat as Hull City kept their automatic promotion hopes alive with victory at The Den.
Meyer capitalised on a defensive error by Mark Beevers to slot home the only goal of the game as Kenny Jackett's men were made to pay a heavy price for failing to find that killer touch in front of goal again.
"I felt that we put a lot of pressure on a very good Hull team," said Kenny. "We were unlucky to lose the game because we did well barring being able to find the goal.
There was a lot of balls bouncing around in their box, a lot of knock-downs that we didn't get on the end of. We've not showed that amount of energy or got that number of crosses into the box for a number of weeks."
Lions manager Jackett made three changes to the side beaten at Barnsley in midweek with Shane Lowry, Martyn Woolford and Josh Wright returning to the team in place of Karleigh Osborne, Andy Keogh and Liam Feeney, who all dropped to the bench.
The change in personnel also saw a change in how The Lions set up on the pitch too, with John Marquis spearheading Millwall's attack in a 4-5-1 formation.
Both teams went into action licking their wounds following defeats in their last outings; Hull bowing out of the FA Cup seven days ago at the hands of Barnsley, who then dug out a 2-0 success against The Lions on Tuesday.
And with precious promotion points at stake, this was always going to be a tight contest.
But few amongst a Den crowd of could have imagined that the deadlock would be broken within 35 seconds. Beevers received possession deep in his own half and stroked the ball back to keeper David Forde but unfortunately had not spoted Meyer, who was lurking on his blindside. The Hull man gratefully accepted the chance and arrowed a fine finish beyond the reach of Forde.
After such an early kick in the teeth credit to The Lions for regrouping and not letting their heads drop.
In fact barely three minutes after Meyer's strike Millwall had a penalty appeal waved away when Paul McShane brought down James Henry right on the edge of the area, only for referee Paul Tierney to award a free-kick outside the area.
The Lions kept pushing and Marquis sent a firm header straight into the hands of David Stockdale in the visiting goal on 20 minutes before Stephen Quinn's half-volley flew narrowly wid eof the target just thre eminutes later.
Woolford twice went close to grabbing a leveller for The Lions, first with a cheeky back-heel flick save by the keeper, somehow managing to get his effot on target despite appearing to be held back by McShane.
Woolford went close again, showing great skill to control the ball and then send an overhead kick just off target.
Boss Jackett changed both his team and formation at the break, bringing on Hulse and Keogh for Marquis and Wright, and switching to a more recognisable 4-4-2 system.
Millwall had a fantastic opportunity tolevel the score just past the hour mark when Henry picked up the ball, charged forward and with the goal at his mercy, saw the ball bobble as he prepared to pull the trigger and he subsequently skied his effort over the bar from eight yards.
Henry was left holding his head in his hands in despair for a second time with 80 minutes gone, on this occasion keeper Stockdale reacting quickly to make a fine save at full stretch to push his goal-bound effort away.
At the other end Forde will have impressed Republic of Ireland international manager Giovanni Trapattoni, watching from the Director's Box, with a strong one-handed save to turn Robert Koren's low drive round the post for a corner.
Jackett introduced Dany N'Guessan at the start of five minutes of injury-time, but The Lions just could not muster another clear scoring opportunity as Hull held on for the points.
Forde, A.Smith, Lowry, Abdou, Shittu, Beevers, Wright (Hulse, 46mins), Trotter, Woolford (N'Guessan, 90mins), Marquis (Keogh, 46mins), Henry. Subs not used: M.Taylor, Dunne, Osborne, Feeney.
Beevers (4mins), Hulse (49mins),
Stockdale, McShane, Faye (Hobbs, 44mins), Chester, Brady, Elmohamady, Quinn, Bruce (Evans, 83mins), Meyler (Proschwitz, 68mins), Koren, Simpson. Subs not used: Jakupovic, Rosenior, Cairney, Olofinjana.
Scorer: Meyler (1min)
Att: 9,589 (away 637)