Large sections of the home crowd brought manager Mark McGhee's judgement into question as chants of "You don't know what your doing" rang out round the ground.
Just when the Lions season appeared to have got back on track after their opening day 6-0 thrashing at the hands of Rotherham, Colin Lee's side arrived at the Den to send them off the rails again.
The Saddlers boss cut his teeth in football management as assistant to McGhee during his time in charge at Wolves. On this evidence, the pupil has learned well from the master.
Millwall may have had the lions share of the play, but James Walker's goal was rarely threatened and on countless occasions possession was squandered all to easily.
Australian international David Zdrilic's 20th minute guided header set the Saddlers on their way .When Darren Wrack extended the visitors advantage with a fantastic finish ten minutes before the break there really was only going to be one winner, even with the majority of the game remaining.
Millwall's failure to provide a service to their front men made life easy for the Walsall defence, and the imminent arrival of Dennis Wise can only help their cause despite the obvious headlines.
Winger Paul Ifill was the Lions' most likely route back into it and his meandering run and cross was cleared from under his own bar by Darren Bazeley.
Kevin Davies was lucky to stay on after a two-footed lunge, but that luck ran out as the linesman failed to flag Jorge Leitao offside and the striker slid the ball under Tony Warner with ease.
Saddlers boss Lee, obviously delighted to end a four-game losing streak stated: "To gain three points at Millwall you have to play well. We scored very good goals at vital stages of the game and our confidence grew.
"To keep a clean sheet was very pleasing."