Wright-Phillips created the opening goal for Djamel Belmadi before netting twice himself. David McGoldrick added a late fourth to emphasise the gulf in class.
It did not take long for Saints to state their intent, with Kenwyne Jones slamming a shot against the post in the first minute.
The home side also enjoyed some early pressure, but Poul Hubertz was guilty of missing two sitters.
First he failed to convert with a free header from a pinpoint Maurice Ross cross, before he then headed tamely into the hands of Saints goalkeeper Kelvin Davis from Marvin Elliott's knock through.
However, the Saints took the lead after 20 minutes when Richard Shaw was caught sleeping by Wright-Phillips, who rounded Chris Day and laid it across for Belmadi to tap home.
The home fans became agitated, but Chris Zebroski gave them some hope when he forced Davis into a good low save on 33 minutes.
Wright-Phillips continued to be a thorn in Millwall's side, forcing Day into a desperate stop with a powerful shot three minutes later.
The former Manchester City man got what he deserved two minutes before half-time. Andrew Surman was given time to pick out Jones at the back post, and his knock-down was slotted home by an unmarked Wright-Phillips. The defence had gone to sleep again.
Millwall put up a fight after the break and could have got themselves right back in the game had Paul Robinson not completely missed the ball from Alan Dunne's corner on 50 minutes.
The home side's resurgence was brief and Southampton soon took control again.
Wright-Phillips scored his second in the final minutes, slotting home from a Mario Licka pass. Moments later McGoldrick completed the rout with a tap-in.