The Latics looked dead and buried when they fell 3-1 behind to a confident visiting team, but Millwall captain Paul Robinson was sent off in the 73rd minute and his team fell apart.
Millwall spent most of the game in front as they made their breakthrough with just 15 seconds on the clock.
Striker Tresor Kandol, who signed from Leeds on Thursday, celebrated his arrival with a close-range header from Alan Dunne's cross.
Oldham hit back straight away when debutant midfielder Kevin Maher delivered a free-kick which veteran Andy Liddell nudged past goalkeeper David Forde from ten yards with his chest.
There was a bizarre third goal after only 14 minutes as Oldham keeper Mark Crossley came off his line to collect a high ball but got in a terrible tangle with central defender Reuben Hazell, who ended up deflecting into his own net.
There was poor defending from both sides before Millwall extended their lead in the second half, again in unusual fashion.
Crossley was unable to do anything more than touch a Dave Martin piledriver against the bar after it took a huge deflection and Lewis Grabban pounced on the loose ball for a tap in.
Robinson saw red when he dragged Lee Hughes to the ground - denying a clear goal scoring opportunity - and conceding a penalty which Liddell sent into the bottom left-hand corner despite Forde diving the right way.
Oldham were level with ten minutes left when Hughes teed up fellow substitute Lewis Alessandra to volley home from six yards.
The drama concluded with a stunning winner Oldham produced a well-worked free-kick which ended with Chris Taylor smashing into the top corner from 14 yards.