The winger struck in the 56th minute after a poor opening half in which neither the Blues nor Millwall registered a shot on target.
But Bailey broke the deadlock when his 16-yard header from a Che Wilson cross beat Lions keeper Chris Day.
A poor first half saw both sides struggle to create chances, the best opportunity fell to Millwall striker Ben May who raced into the Southend box, but headed Andy Frampton's centre from the left wing wide after 29 minutes.
The hosts had the better of the opening but was unable to make them count.
Their best effort was Bailey's rasping 20-yard shot from the right that flew inches wide.
Things improved after half time and, with 52 minutes on the clock, Southend had their first attempt on the target when Mark Gower's 25-yard free-kick turned out for a corner by Day.
Three minutes later the hosts broke the deadlock through Bailey and the winger nearly made it 2-0 on 59 minutes, but his low shot saved by Day at his left post.
Millwall finally had their first attempt on target on 61 minutes when May's 25-yard shot was saved by Darryl Flahavan.
Day ended well to stop Charlie MacDonald's goalbound shot with his feet, before Flahavan saved Alan Dunne's header.
Good work by Lions substitute Jamie O'Hara set up Dunne, who flashed a shot narrowly wide of the post as the Shrimpers just held on.