Goals by Dennis Wise and Tim Cahill destroyed Wigan's hopes of a winning start in Division One.
Wise scored after 52 minutes, following up Neil Harris' weak penalty after it was saved after Wigan keeper John Filan.
The penalty had been awarded after Paul Ifill's strong run into the area was brought to a premature end by Wigan captain Jason De Vos.
Cahill finished off the scoring in the 74th minute with a bullet header from a Denis Wise corner.
The hot weather was a huge factor during the game, with both sides taking regular drinks breaks. But Millwall forward Ifill seemed immune to the heat as his pace and strength was a constant menace for the Wigan defenders.
Ifill could have given Millwall the lead after just four minutes when he beat De Vos to the ball before going round Filan and blasting wide.
It took 75 minutes for Wigan to make a serious attempt on goal, and by then they were already 2-0 down. Substitute Jason Jarrett crossed to the far post from the right and the impressive Jimmy Bullard smacked a right-foot volley on to the post.
The victory was bitter sweet for Millwall as earlier in the day coach and former Blackburn Rovers boss Ray Harford lost his battle with cancer.
"The lads were devastated when they heard of Ray's death," said Millwall boss Mark McGhee. "I heard Neil Harris shout 'Lets win it for Ray' just as they went out. He wouldn't have wanted anything else." Wigan boss Paul Jewell said his team must improve to survive this season: "It was a good lesson for us and we have to play better than this.
"We have to adjust very quickly to the first division and we showed that there is still a lot to be done. It's a big learning curve."