Neil Harris grabbed a last-gasp winner for Millwall but his late header sealed the points for the Lions in controversial fashion.
Bantams substitute Danny Cadamarteri thought he had bagged his first goal since last August with a fierce strike ten minutes from time, but his effort was ruled out by a harsh offside flag.
Even after Harris had stunned the home crowd with his far post finish Lions keeper Tony Warner had to push away a diving header from City striker Andy Gray in the dying seconds.
Warner had ridden his luck with a number of mis-hit clearances but Bradford's attack failed to find the net for the second home game in a row and have now scored just six goals in eight home games this year.
There were few clear-cut chances in a scrappy first period and Bradford came closest to breaking the deadlock when Danny Forrest's goal bound flick-on was headed off the line by full back Andy Roberts.
The second half looked to be more of the same and Millwall's cause suffered a setback when Republic of Ireland midfielder Steven Reid was taken off with a leg injury 15 minutes from time.
But Cadamarteri's disallowed effort provided the spark for the final ten minutes and 15-year-old Lions sub Moses Ashikodi almost put them ahead with three minutes left.
The teenager latched on to Stuart Nethercott's knockdown from teasing Dennis Wise corner, but was left hanging his head as he hooked a six-yard shot over the bar.
Seconds into injury time Bradford's defence could only half clear another Wise corner and when Roberts chipped over a superb cross Harris rose unmarked to head home form four yards out.
There was still time however for Gray's late effort to test Warner but his save was enough to give Millwall a seventh win on their travels.