Full-time score from London Road
The home side tried to build up a hwead of steam buit were unable to knock The Lions out of their attacking groove and despite five added minutes of injury-time, Maik Taylor remained untroubled in the Millwall goal.
And the woodwork came to Posh's rescue once again when Henry's dipping 18-yarder crashed against the crossbar. The ball lookeed to be falling perfectly for Henderson to convert, but the Millwall striker was the meat in a Posh defensive sandwich and was sent crashing to the ground.
Henry could have added a third 15 minutes from time but took too long to pull the trigger following another sweeping move that sliced through the Posh rearguard.
It was that man Henderson - who scored nine of his 19 goals away from The Den last season - who finally made the possession and pressure count on 64 minutes, firing home from the left after a delightful one-two with Keogh.
Posh simply could not cope with the slick, quick passing football produced by The Lions and it seemed only a matter of time before a second goal would arrive as Keogh and then Henderson went close.
Henry's poked effort clipped the woodwork and then Henderson's low cross was miskicked for a corner by Gabriel Zakuani as Posh struggled to get to grips with Millwall.
Posh boss Darren Ferguson made a double substitution at the break bringing on Grant McCann and Emile Sinclair, but the move nearly back-fired when, within seconds of the restart it took a brilliant save by Olejnik to tip Shane Lowry's rasping shot over for a corner.
Millwall's relentless pressure finally paid off three minutes before half-time when another lovely cross from the impressive Dunne picked out Malone and he swept the ball home with aplomb.
A quick Millwall break nearly produced an equaliser eight minutes before the break; keeper Taylor's huge quick throw was picked up by Keogh on the right and his inch-perfect forward pass picked out Wright, who had stolen clear of his marker. Unfortunately Wright's first-time shot at full stretch lacked power and was comfortably collected by the Posh keeper.
Henderson forced a smart save from keeper Bobby Olejnik after an exquisite lay-off from strike partner Keogh on the half-hour mark.
Henderson then hit a sweet left-foot free-kick a fraction wide of the mark as the Lions continued to keep the pressure on Posh.
Trotter hooked over midway through the half after Malone's sweeping crossfield pass had initially picked out Dunne on the right flank. he in turn despatched another inviting delivery into the danger zone but Trotter swung a boot and missed the ball as it sailed behind for a goal kick.
Josh Wright then went even closer, picking up a Posh clearance from James Henry's free-kick and smashing a powerful volley inches over the bar.
Jackett's men tried to conjure an instant response and when Malone's pass was flicked into the path of Keogh, the former Wolves man hit a rasping drive that flew a couple of yards wide.
It was Boyd who broke the deadlock on 12 minutes with a super angled strike that gave Maik Taylor no chance, but thereafter it was pretty much all Millwall.
Posh created a decent opening of their own too, Paul Taylor's cross from the right flicked narrowly over the bar by the onrushing George Boyd.
An early break with barely 60 seconds on the clock saw Andy Keogh and Henderson combine, with the latter's sprayed pass to Dunne finding the right-back in acres of space on the flank. Dunne strode forward and despatched a looping ball that Liam Trotter was a whisker away from connecting with at the far post.
Jimmy Abdou also returned to the team, slotting into midfield in a Lions side resplendent wearing their bright orange third kit.
Boss Jackett fielded a new-look back four, bringing in Alan Dunne at right-back and Karleigh Osborne alongside Shane Lowry at centre-half as The Lions looked for a quick response following their opening day defeat at the hands of Blackpool.
If ever a scoreline failed to reflect the dominance of one team then this was that occasion as Kenny Jackett's men created a stackful chances but in the end had to be content with just the two goals scored.
A goal in either half from Scott Malone (42mins) and Darius Henderson (64mins) saw The Lions turn the tables on a Posh side that had taken the lead through George Boyd in the 12th-minute.
Millwall picked up their first goals and points of the season with a comfortable victory at bottom of the table Peterborough United.
Peterborough United: Boyd (12mins)Scorer:
Boyd (89mins) Booking:
Olejnik, Alcock, Brisley, Zakuani, Bostwick, Tomlin, Boyd, Newell (McCann, 46mins), Frecklington (Swanson, 73mins), Ntlhe, P.Taylor (Sincalir, 46mins). Subs not used: Day, Little, Knight-Percival, Clarke-Harris.
Millwall: Malone (42mins), Henderson (64mins)Scorers:
Lowry (52mins), Keogh (87mins) Bookings:
M.Taylor, Dunne, Malone, Abdou, Osborne, Lowry, Wright, Trotter, Henderson, Keogh, Henry (Batt, 85mins). Subs not used: Forde, Shittu, Racon, Marquis, Feeney, C. Taylor.