Jerel Ifil grabbed a 78th-minute as Swindon plundered the points with a classic smash and grab raid at The Den.
Simon Cox had earlier fired the visitors into an eighth minute lead, only for The Lions to battle back and level with Jay Simpson's first goal for the club after 56 minutes.
But then up popped defender Ifil to power home a header and condemn Willie Donachie's side to a third successive home defeat.
Boss Donachie was forced to make some late, late changes to his starting line-up when striker Gary Alexander dropped out an hour before kick-off with a bug.
With striker Neil Harris (groin), Alan Dunne (strain), Danny Spiller (groin) and Zak Whitbread (knee) all unavailable through injury plus frontman Ben May joining Scunthorpe on loan, Donachie drafted in youngster Peter Vincenti for his first ever appearance on the bench plus Zoom Bakayogo, yet to make an appearance this season.
However The Lions found themselves a goal behind after eight minutes when Cox slotted home at the far post following a slick move down the right.
It was a disjointed opening half from Millwall, and those frustrations increased after 16 minutes when Jack Smith clearly palmed away Ryan Smith's cross.
Three minutes later Ali Fuseini headed the ball home from Smith's deep cross, only for referee Paul Taylor to bring play back for a Millwall freekick instead of allowing the advantage to stand.
The Lions plugged away with Dave Brammer and Andy Frampton firing wide whilst in good positions, but it was the introduction of Chris Hackett for Ryan Smith after the break that really kick-started The Lions.
Swindon somehow held onto their lead following an incredible goalmouth melee that saw Brammer's shot deflected and then Ifil's attempted headed clearance scooped out from under the bar by keeper Phil Smith.
Millwall finally grabbed the equaliser their efforts deserved after 56 minutes, ironically at a time when they were a man down with Will Hoskins off the field receiving treatment. The impressive Ali Fuseini threaded a neat ball through to Simpson, and the young striker raced through before despatching a low shot into the bottom corner.
Donachie's men enjoyed a purple 15-minute patch of possession and when Hackett raced onto Paul Robinson's raking pass, it looked odds-on that the flying winger would beat Jamie Vincent to the ball 20 yards out. However, Vincent sent Hackett flying with a cynical foul and to the dismay and disbelief of The Den faithful, brandished a yellow instead of a red card.
Hackeet twice delivered teasing crosses into the box that Simpson met with headers, the first flying inches over and the second cleared by Smith.
Hoskins then saw his sweetly struck shot brilliantly parried for a corner by Smith as Millwall continued to press forward.
There looked to be only one team who would go on to claim all three points at this stage - and it certainly wasn't Swindon.
But no sooner than The Lions had the bit between their teeth, than it was savagely snatched from them courtesy of Ifil's flying header 12 minutes from time.
Even then Millwall's desperate search for a second goal continued at pace with Frampton sending a curling free-kick a foot over the bar in the 90th-minute.
With time running out skipper Robinson set off on a one-man crusade to snatch a last-gasp leveller and when his goal-bound effort was clearly handled by Ifil the crowd howled for a penalty.
Critically for the second time in the match, the officials were unsighted and waved away Millwall's appeal. Add in Vincent's yellow card and three big decisions that could have had a major impact on the outcome of this match all went Swindon's way.

Millwall: Douglas, Senda, Frampton, Brammer, Robinson, Shaw, Fuseini, O'Hara (Bakayogo, 84mins), Hoskins, Simpson, Smith (Hackett, 46mins). Subs not used: Day, Barron, Vincenti.
Booking: Brammer (46mins)
Scorer: Simpson (56mins)

Swindon Town: Smith, Vincent, Ifil, Peacock, Easton, Collins, Roberts (Comminges, 67mins), Paynter (Pook, 79mins), McGovern (Zaboub, 67mins), Cox, Smith. Subs not used: Sturrock, Blackburn.
Bookings: Cox (41mins), Vincent (65mins), Easton (83mins),
Scorers: Cox (8mins), Ifil (78mins)

Ref: Paul Taylor
Att: 8,744 (away 889)