Walcott opened the scoring on 18 minutes with the Saints doubling their lead through a Ricardo Fuller powered header midway through the first half.
Millwall's woes were further compounded when on-loan defender Phil Ifil was sent off in time added on in the first half for a reckless challenge on Danny Higginbotham.
The opening was a largely cagey affair, with both sides having early attempts testing their respective keepers. Saints skipper Nigel Qashie went close after two minutes, but his shot was always rising over the bar.
The Lions' first attempt on goal was a neat move on the left when Jody Morris linked up with Jamie Vincent, but Ben May say his shot well saved low down by Antti Niemi.
Southampton took the lead when Walcott took advantage of a disastrous back pass attempt by Vincent. The teenager was alert to the error and capitalised on it with a low angled drive, which went straight past keeper Andy Marshall.
The Saints doubled their advantage six minutes later. Djamel Belmadi's free-kick sailed over a static Lions defence, as Fuller rose unchallenged to head home from close in.
The Lions had started today on a five-game unbeaten run that started with an away win at Wolves. Millwall boss Colin Lee stated that his first priority was to secure the 50 points needed for safety in the Championship.
The New Den was also welcoming Dennis Wise back for the first time since his three years at Millwall and he clearly enjoyed his run out as a second-half substitute.
Saints boss Harry Redknapp was anxious to start well but with the sale of five strikers to Premiership clubs, he had wondered where the goals would be coming from. He need not have worried and certainly on this performance, Southampton can perhaps begin to convert those draws to victories.
The Lions for all their effort and notable performance form May, were simply not hungry enough, but they will hope to pull clear of the drop zone somehow.
Today, however, the Saints proved to be too strong, but Belmadi and Walcott did squander late chances, however the scoreline was a true reflection of the game.
As the game was coming to its conclusion, a late Millwall surge saw May have three efforts all saved by Niemi who had one of his quieter afternoons.