Full-time score from The Den
Sammy Ameobi and David Wheater scored a goal in either half as Bolton secured maximum points at The Den on Tuesday night.
Ameobi stunned Neil Harris' side with less than three minutes on the clock with a spectacular drive before defender Wheater put the result beyond reach with a low finish four minutes from time.
Millwall went into the game in confident mood following Saturday's 3-1 success at Northampton, and manager Neil Harris named an unchanged side, and also welcomed striker Aiden O'Brien back to the bench following injury.
However Bolton stunned The Lions after just three minutes with a wonder strike from Ameobi, who turned on the edge of the area and rifled an unstoppable shot into the top corner with a thunderbolt that gave keeper Jordan Archer no chance.
The Lions responded from this early set-back in positive fashion and top scorer Steve Morison was thwarted when keeper Mark Howard rushed out to claim a long forward ball looking for the frontman.
Moments later skipper Tony Craig picked out his team-mate with a pinpoint free-kick, only for the boot of a Bolton defender to clear the danger as Millwall tried to get back on level terms immediately.
Bolton had a penalty appeal waved away by referee Darren Deadman when the visitors felt Byron Webster had handled on 16 minutes, whilst at the other end Morison sent a shot crashing against the keeper following another deep free-kick into the heart of the danger zone.
Lee Gregory appeared to be fouled as he tried to hit the target with an overhead kick, but The Lions just did not get the rub of the green in the final third.
A stop-start opening half did little help to Harris' side as they tried to get some momentum going into their attacking play, but the home side kept plugging away trying to conjure an equaliser.
They went close with a Calum Butcher header that dropped wide of the post and another Morison effort deflected off target, but Bolton remained a threat going forward too and keeper Archer had to be alert to clear a Webster clearance with Josh Vela waiting to pounce.
Seconds before the break a quick burst down the right fromFred Onyedinma opened up the visiting defence, but his inviting cross was headed over the bar by Ben Thompson at the back post with the last real noteworthy action of the half.
Neither manager made any changes at the break and within seconds of the restart the trusty defensive boot of Craig ensured that Zach Clough's dangerous run into the penalty area was to come to nothing, sweeping the ball away from the Bolton striker.
An acrobatic bicycle kick from Thompson from Webster's 48th-minute free-kick whizzed wide as The Lions began to ask questions of the visiting defence once more.
Manager Harris introduced fit-again front man O'Brien just before the hour mark and a couple of minutes later Millwall went close to grabbing the equaliser when Morison held the ball up expertly before squaring to Shaun Williams, whose crashing left-foot drive flew a foot wide of the upright.
Williams then turned provider with a free-kick that was met by Craig, but the latter's goal-bound header took a deflection before dropping on the roof of the net.
Millwall enjoyed a really good spell of possession as they kept knocking on Bolton's defensive door, but despite whipping over some inviting deliveries from both flanks, the Trotters weathered the storm and held firm as the game approached the final 20 minutes.
Bolton brought on former Lion James Henry for Ameobi, and Harris responded by making a double substitution with David Worrall and Shane Ferguson replacing Onyedinma and Joe Martin as Harris went for broke with 17 minutes left.
But as hard as they tried to find a way through, they got no change from the Trotters rearguard and it was Phil Parkinson's side who killed off any hopes The Lions had of claiming a point four minutes from time.
A corner from Jay Spearing fell favourably for Wheater and the towering defender was on hand to thread the ball through a crowd of players and into the back of the net to make sure that the points were heading back to Lancashire.
Millwall: Archer, Romeo, Martin (Ferguson, 73mins), Craig, Webster, Williams, Butcher, Onyedinma (Worrall, 73mins), Thompson (O'Brien, 58mins), Gregory, Morison. Subs not used: King, Nelson, Abdou, Pavey.
Bolton Wanderers: Howard, Beevers, Vela, Spearing, Clough (Proctor, 87mins), Madine, Taylor, Ameobi (Henry, 68mins), Wilson, Wheater, Thorpe (Osede, 29mins). Subs not used: Alnwick, Dervite, Anderson, Trotter.
Booking: Clough (18mins)
Scorers: Ameobi (3mins), Wheater (86mins)
Ref: D. Deadman
Att: 7,898 (away 389)