The result delighted McGhee who said: "Some people are talking about revenge but it was not about that. It was about pride. We lost a lot of that on the first day of the season but we regained some of it here.
"That result was as good for me as the result was for Ronnie Moore on the first day of the season."
Rotherham boss Moore was disappointed at his side’s display and conceding three goals at home for two games in a row.
He said: "Last season this place was a fortress but now we have lost two matches in a row here and that is totally unacceptable.
"But we live to fight another day and we will just continue. Some people can talk about play-offs but all I know is that we are concentrating on 13 more points to get to the 50-point margin and avoid relegation."
Millwall started slowly and Rotherham had the better of early chances but the home side was stunned by an opening goal five minutes before the break.
There was a shout of offside when Andy Roberts threaded a sharp pass through for Neil Harris, who stole into the area and lifted the ball over keeper Mike Pollitt.
And Millwall added their second before the home side had managed to get into their stride three minutes into the second half.
Harris showed superb awareness after Millwall cleared a Rotherham corner. He drove a crossfield pass into the path of Steven Reid who raced forwards with the home defence trailing before curling a shot from the edge of the area out of Pollitt's reach.
And Millwall stretched their lead with a 58th minute header from Steve Claridge before RotherhamÂ’s consolation by Paul Hurst nine minutes from the end.