Ben Pringle's 49th-minute strike for Rotherham brought Millwall's proud unbeaten run to an end and send The Lions to a first Championship defeat of the season.
Pringle stabbed home the all-important goal three minutes into the second-half following some great play by Paul Taylor to secure three points for a Rotherham team who became the first side since Birmingham City on 25th March to beat Ian Holloway's men, 12 games ago.
Boss Holloway made two changes to the side that started at Sheffield Wednesday handing midfielder Josh Wright his first Championship start since at the expense of Jimmy Abdou, who dropped to the bench. Ricardo Fuller returned up front in place of Lee Gregory, who was also named as one of The Lions' seven subs.
Millwall started brightly and within the first 50 seconds skipper Dunne swept a glorious crossfield ball to Lee Martin whose cross was headed on by Scott McDonald just beyond the reach of Fuller.
Rotheram debutant Anthony Wordsworth, signed just 24 hours previously on loan from Ipswich Town, went close with a rasping 20-yard drive, but it was The Lions who saw more of the ball early on.
Holloway's men had a decent shout for a penalty waved away in the sixth-minute when Mark Beevers was impeded as he tried to get on the end of a delightful McDonald delivery. From the resulting corner Beevers had the ball nicked off his toes as he prepared to pull the trigger.
Fuller spurned a glorious chance to break the deadlock just before the quarter-hour mark, glancing his header wide from six yards following an inch-perfect left-wing cross by Martin.
Wright volleyed off target before Rotherham Lee Frecklington's drove past the post from distance with a rare first-half effort from the visitors.
A nicely worked free-kick midway through the half saw the ball played from Martin to Woolford and then McDonald, whose low shot flew just wide of the left-hand post as Millwall continued to search for that elusive opening goal.
Despite all their pressure it was Rotherham who contrived to create - and miss - the best chance of the opening 45 minutes just before the break. Lions keeper David Forde did well to parry Paul Taylor's angled drive, however the loose ball fell invitingly for Alex Revell who somehow fired wide of an open goal from eight yards.
There was still time for left-back Scott Malone to curl a snap-shot over the bar after another superbly weighted pass from the impressive McDonald in injury-time, but the teams went in on level terms at the break following an entertaining first period.
The deadlock was broken just three minutes after the retart when Taylor worked his way to the line and despatched an inviting cross that Pringle stabbed home at the far post.
Holloway responded immediately by bringing on Magaye Gueye for Wright with Woolford dropping back into midfield and the sub taking his place on the right flank.
Within seconds of the change, Martin had his heels clipped as he threatened to break clear and despite winning a free-kick, there was surprisingly no card brandished to Kari Arnason.
The resulting free-kick failed to really test the visiting defence. although an almighty scramble moments later ended with McDonald's shot smuggled away
Pringle's 55th-minute fizzer was brilliantly pushed round the post by Forde at full stretch as Rotherham were denied a second goal.
The Lions kept chipping away though and Fuller twice went close to levelling, first heading narrowly wide from Malone's deep cross and then, from a near identical position, seeing another header deflected over for a corner.
Martin had another attempt at goal as Millwall tried to find a way through and the Rotherham defence again cleared their lines when sub Magaye Gueye's inviting cross picked out Fuller, whose goalbound header was deflected wide for the first of three successive corners for the home side.
Despite all their pressure and possession it looked to be just one of those afternoon's where Millwall's effort and endeavour was going to count for nothing - and that sadly proved to be the case.
In a last roll of the dice Holloway brought on Lee Gregory for Fuller, looking for an intense final six minutes of play to get The Lions back on level terms.
It was Rotherham, however, who looked the more composed and Steve Evans' side comfortably saw out the game to secure their second Championship victory of the season.
Millwall: Forde, Edwards, Malone, Dunne, Beevers, Malone; Williams, Wright (Gueye, 50mins); Martin (Easter, 71mins), McDonald, Woolford; Fuller (Gregory, 84mins). Subs not used: Gerrar, Briggs, Abdou, Webster.