Full-time score from Molineux
It was from the big number 10's early goalbound shot that Mark Beevers blocked before slicing the ball a foot over his own bar to avert the danger from the same player moments later.
In an evenly contested opening half, it was Wolves who settled into their stride early on, looking to utilise the pace and power of Bakary Sako on the left flank at every given opportunity.
As expected, Lions boss Jackett made just one change to the team that started against Blackburn, with Liam Feeney stepping in to fill the right midfield berth left vacant by the absence of James Henry who was suspended.
"I certainly enjoyed this more than my last visit," said Jackett, and although the game may not have been as easy on the eye to watch as Saturday's match at Ewood Park, this display highlighted The Lions resilience and dogged determination to dig out a result.
Last season Millwall were thumped 5-0 in the Carling Cup at Molineux, but how times have changed with Jackett's men pushing to establish themselves in the top six and the home side languishing in the lower reaches of the Championship having graced the top flight last season.
He had two good goals disallowed at Blackburn on Saturday and was owed one; I was delighted it came for him tonight."
In the second half we grew, you could see the goal coming and I was really pleased to see Andy Keogh score.
"It was a fantastic result for us," beamed boss Kenny Jackett. "In the first half we looked flat and lacked energy, but we hung on in there.
Keogh, who signed for The Lions in January after five years at Molineux, hit a clinical low drive 12 minutes from time to settle a tight game in which The Lions dug deep to record a fourth successive victory.
Andy Keogh struck the decisive goal on his return to former club Wolves as Millwall extended their unbeaten run to 12 games.
Wolves had a penalty appeal turned down on 12 minutes when Danny Shittu tangled with Kevin Doyle, but to the frustration of the home fans the referee awarded a free-kick right on the edge of the box.
Millwall soaked up an early onslaught from the home side and started to work their way into the game as the half progressed.
Chris Wood prodded the ball harmlessly wide of the target from Josh Wright's hooked overhead pass after Chris Taylor's corner had been cleared as The Lions created their first chance of the game. Then it took a great tackle by Bjorn Sigurdarson to clear for a corner as Wood prepared to shoot on the half-hour mark.
Adam Smith sent a rasping drive into the side netting after Feeney's initial shot had been blocked whilst for Wolves, Sako's low cross was a whisker away from the boot of the onrushing Sigurdarson, who had timed his run into the box to perfection.
The second-half started promisingly enough for Millwall with Taylor firing wide from distance and then a quick free-kick from Wright picked out Keogh, whose sweet half-volley was held chest high by home keeper Carl Ikeme.
At the other end a snap-shot from Kevin Doyle bounced wide before Feeney sent a shot sailing over the bar as the two teams traded chances.
Although by now looking comfortable on the ball and controlled defensively, The Lions struggled to carve out any clear scoring opportunities.
With 17 minutes remaining, Jackett introduced Dany N'Guessan for Feeney, who had worked his socks off, and the injection of a fresh pair of legs paid off just five minutes later when a sustained period of Lions pressure brought the goal that their composed, diligent display had threatened.
N'Guessan played the ball in to Wood, who in turn did equally well to control it and tee up Keogh who finished with aplomb.
Despite a couple of late shots from Wolves' sub Sylvan Ebanks-Blake that were comfortably blocked, the home side rarely threatened and were roundly booed off at the final whistle - a stark contrast to the loud roar of approval from the Lions fans in the away end.
Wolves: Ikeme (De Vries, 64mins), Edwards, Stearman (Ebanks-Blake, 82mins), Sako, Ward, Johnson, Sigurdarson, Berra, Pennant (Forde, 69mins), Davis, Doyle. Subs not used: Nouble, Batth, Doumbia, Foley.
Booking: Davis (62mins)
Millwall: Keogh (78mins)Scorer:
Forde, A.Smith, Lowry, Abdou, Shittu, Beevers, C.Taylor, Wright, Keogh (J.Smith, 90mins), Wood, Feeney (N'Guessan, 73mins). Subs not used: M.Taylor, Osborne, Malone, Racon, O'Brien.