A moment of madness by Marvin Elliott handed Leeds victory by the narrowest of margins at Elland Road.
Millwall had battled back after going behind to David Healy's first-half opener, and levelled courtesy of a magnificent strike from debutant Don Hutchison.
But with The Lions looking good for a deserved share of the points, midfielder Marvin made a rash challenge on Eirik Bakke and Healy thumped home the 73rd-minute winner from the spot.
Lions boss Colin Lee opted for a 4-5-1 formation for his first game in charge and the visitors succeeded in frustrating their hosts and limiting their first half opportunities to just that Healy strike on 28 minutes.
However, Millwall were struggling to get support up to lone striker Barry Hayles before the break.
Increasingly in the second period, though, Hutchison, Josh SImpson and the hard-working Jody Morris began to assert more authority, and the leveller came on the hour.
Alan Dunne won the tackle with Ben Harding and pulled the ball back for Scottish international Hutchison to thump the ball into the top corner from 12 yards.
It was no more than the industrious Lions had deserved, but all their hard work was undone when Elliott lunged at Bakke just inside the area with the Leeds man not in a position to threaten the goal.
Referee Graham Laws, who gave the fan-less Lions little all afternoon, on this occasion had no alternative but to point to the spot and Healy did the rest.
Manager Lee changed personnel and formation in an attempt to salvage a point, but for all Millwall's endeavour, they rarely looked likely to break through a second time.

Leeds United: Sullivan, Kelly, Butler, Gregan, Harding, Wright (Richardson, 80mins), Bakke, Derry, Lewis, Blake (Ricketts, 76mins), Healy. Subs not used: Bennett, Einarsson, Kilgallon.
Bookings: Healy (66mins), Gregan (74mins)
Scorer: Healy, 28mins, 73mins (pen)

Millwall: Marshall, Lawrence, Phillips, Dunne, Vincent, Serioux (Braniff, 90mins), Elliott (Igoe, 79mins), Morris, Hutchison, Simpson (May, 79mins), Hayles. Subs not used: Robinson, Peeters.
Bookings: Hayles (41mins), Phillips (85mins)
Scorer: Hutchison (61mins)

Ref: G Laws