Although Coventry remain winless at the Den since 1955 it owes more to the fact that the two teams have spent so many years apart in league terms.
However, the reason they have gone 12 matches without a victory owes more to their decline since their fall from Premiership grace 2 seasons ago.
In a rather lifeless first half it took a burst through the middle by Andy Roberts, racing onto a poor clearance by Gary Montgomery on 18 minutes, to bring the game to life, but the Millwall midfielder's shot flew over the bar.
On 33 minutes Paul Ifill beat City's offside trap to reach the byline and put an incisive cross over, but Montgomery punched clear just as 15-year-old striker Moses Ashikodi lurked at the far post.
Ifill was also involved a minute later when Matt Lawrence crossed from the right wing for Darren Ward, but the effort was turned over.
Coventry's only chance of the half was a shot well wide of the target by Andrew Whing on 44 minutes.
Millwall controlled proceedings without really imposing themselves, until a fabulous chip over the top from Roberts on 50 minutes picked out the unmarked left back Tony Craig in the centre of the box.
The 18-year-old kept his composure before driving beneath Montgomery for his first senior goal on his home debut.
Craig was also involved in the second Lions goal when he chipped into the box on 54 minutes picking out Neil Harris perfectly.
The Lions top scorer's header hit the upright before Tim Cahill raced in to poke home his third goal in three matches since his return from cruciate ligament damage.
Ashikodi had a chance to become the Football League's youngest ever goalscorer on 57 minutes but he dragged his effort wide of the target.
Coventry's first shot on target came on 62 minutes when Isac Osbourne drove straight at Tony Warner from 25 yards.
The Lions keeper was given a slightly sterner test by City player-manager Gary McAllister three minutes later, but Millwall's player of the year got down well to stop the 20-yard effort.
Eddie Stanford almost scored with an audacious chip in the final seconds, but with Warner peddling backwards the ball bounced off the bar.
Millwall boss and manager of the month, Mark McGhee, has made no secret of his disappointment in the season, but unlike Coventry City they will embark on a close season with high spirits and a determination to mount a promotion challenge next term.