The Lions went into the match against in-form Southend with only one win in seven games.
Southend, on a three-match unbeaten run before kick-off, made the early running, forcing two corners and a save from David Forde following one of Franck Moussa flag-kicks.
But the Lions soon hit back through David Martin, whose shot was saved by Shrimpers goalkeeper Steve Mildenhall.
Forde was again called into action to save shots from Theo Robinson, Francis Laurent and Alan McCormack, while Peter Clarke hit the post with a header.
Millwall found themselves unable to test Mildenhall further as Ashley Grimes fired wide from outside the box and James Henry repeated the feat from the edge of the box.
But that all changed in the 39th minute when Gary Alexander put the visitors in front.
Henry, on loan from Reading, crossed the ball and striker Alexander hit the ball into the bottom right hand corner of the Blues goal from six yards for his eighth goal of the season.
Grimes and Alexander then had efforts go wide, while the Lions were grateful to Forde for a fine save to deny Moussa as Southend chased an equaliser.
Southend stepped up their hunt for a goal after half-time and had several shots off target from Robinson and McCormack.
But despite conceding a number of free-kicks the Lions were able to soak up the pressure and counter-attacked on the hour, with Martin setting up Grimes for a shot which was saved by Steve Mildenhall.
Southend continued to plug away and had attempts from substitute Kevin Betsy and Dorian Dervite saved by Forde before Betsy headed against the bar.
At the other end of the pitch Mildenhall denied Alexander as Millwall pressed for a second that they never needed.