It was sweet revenge for Rovers who had suffered being knocked out of the FA Cup by the Londoners and it had the added bonus of dumping the Lions right in trouble at the bottom of the league.
It was three wins out of four games for Rovers thanks to second half goals from David Jones and Jordan Rhodes - the latter from the penalty spot.
Millwall could have done with the win themselves and Karleigh Osborne put them in front on 14 minutes.
But Millwall do have the advantage of a game in hand over their relegation rivals and they have a four point gap over the bottom three, but anything can happen in this ridiculously tight division.
Rovers had been harbouring nasty thoughts of back to back relegations and they desperately needed the points, but when Henry floated over a free kick and Osborne netted, Rovers looked to be deep in the mire.
But 11 minutes into the second half their luck changed for the better when Jones's corner went in at the near post to put the visitor's level.
Rovers then went all out in search of the winner and Goodwillie, Hanley and Rhodes all had chances.
But then Hanley went bursting into the area and was tripped Shittu, the man that hit the winner for Millwall in the FA Cup game. The referee pointed to the spot and after much whinging by the Millwall players, Rhodes took the kick and Rovers were 2-1 up.
To ensure themselves of their spot in the 24-team league in 2013-14, Millwall require three more points from their final three fixtures against Nottingham Forest (eighth), Crystal Palace (fifth) and Derby County (11th).
Blackburn have Palace and Birmingham to take on and still mathematically need two more points, but they should be safe enough if results go their way on Saturday.