Full-time score from The Den
Millwall slipped to the foot of the Championship table after James Vaughan's 57th-minute header clinched victory for Huddersfield Town and left The Lions still searching for their first league goal and point of the season.
It was an afternoon of frustration for manager Steve Lomas as his side created a number of decent chances, but lacked that vital killer touch in front of goal.
Lomas made two changes to the team that started at Ipswich last weekend with Alan Dunne returning in place of Jack Smith at right-back and Jermaine Easter handed his first league start of the campaign, with Andy Keogh dropping to the bench.
The Lions had the ball in the back of the net in the opening couple of minutes when Easter tucked away from James Henry's corner, but his effort was ruled out for a handball in the build-up by Steve Morison.
Midfielder Nicky Bailey tried his luck from distance with a shot that flashed wide and then Henry's cross from the left was headed just over by Morison as Millwall started with real purpose.
But it was Huddersfield who nearly broke the deadlock just past the half-hour mark when Vaughan escaped the attentions of Danny Shittu only to be denied by the quick-thinking of keeper Stephen Bywater who did well to hold the striker's chipped effort.
Morison went even closer when, following a quick counter-attack, he powered a header from Dunne's deep cross narrowly over. Shaun Derry's shot from eight yards was deflected behind for a corner as Millwall tried to find a way through themselves.
Huddersfield were only inches away with their next attack as Oliver Norwood saw his 34th minute attempt from outside of the area just clear the bar.
Keeper Bywater did well when called into action again, this time thwarting Martin Paterson before launching a long clearance setting up a move which ended with Morison’s goal-bound header being tipped behind by Smithies.
Morison was again close with a header deep into first-half stoppage time that was deflected behind as the teams went in level at the break.
The Lions created the first chance after the break when great work by Easter teed up Henry, but he smashed the ball over from a decent position.
However it was Huddersfield who made the all-important breakthrough just moments after Sean Scannell had replaced Paterson. Adam Hammill whipped in a corner from the right and Vaughan scored a near-identical header to that of Ipswich Town's Tommy Smith last week, planting a firm header into the roof of the net from a central position.
Vaughan so nearly added a second goal for the visitors soon after when he sent an acrobatic overhead kick a foot over the bar.
Lions boss Lomas responded by bringing on Scott McDonald and Lee Martin, and then Andy Keogh with 20 minutes remaining in a bid to find that elusive leveller.
The opportunities were certainly there as a string of deliveries from Martin and Dunne were just begging to be met with the head or a boot of a Millwall player.
With eight minutes remaining Morison headed straight at Smithies from McDonald's centre and then Derry headed wide from Martin's corner as Millwall tried to build up a head of steam with the clock ticking down.
Right-back Dunne, arguably Millwall's best performer on the day, was denied what would have been a stunning equaliser when his 20-yard pile-driver was pushed around by the keeper at full stretch.
Then in the dying moments of five additional minutes, Nicky Bailey's half-volley sailed agonisingly over the bar as the visitors held on for their first win of the season.
Bywater, Dunne, Lowry, Bailey, Shittu, Beevers, Chaplow (Martin, 59mins), Derry, Morison, Easter (McDonald, 59mins), Henry (Keogh, 70mins). Subs not used: Lee-Barrett, Robinson, Smith, Abdou.
Huddersfield Town: Smithies, Gerrard, Clayton, Paterson (Scannell, 56mins), Hammill (Woods, 65mins), Vaughan, Carroll, Hogg, Lynch, Norwood (Norwood, 86mins), Clarke. Subs not used: Bennett, Stead, Hunt, Ward.
Booking: Smithies (81mins)
Scorer: Vaughan (57mins)
Ref: O. Langford
Att: 9, 503 (away 564)