The Lions were always more positive and there was little doubt they deserved their belated success.
New signings Vinny Samways and Chris Shuker, making their first appearances at the Bescot Stadium for the Saddlers, were disappointing and their ineffective displays were a major reason for Walsall's home defeat.
Millwall were often the more positive side despite suffering four defeats in their last five games.
Richard Sadlier posed a great deal of danger for Walsall. The Millwall striker took advantage of a Tony Barras slip to fire in a low shot which Jimmy Walker effectively blocked.
Darren Ward was next to threaten as Walsall struggled to find any balance to their play.
Jorge Leitao was Walsall's only front player and this created a lop-sided look to the Saddlers play.
They were often too negative against a side they defeated 3-0 earlier in the season.
Walsall finally got their act together when Leitao set up skipper Martin O'Connor but his low shot was well saved by Tony Warner.
David Livermore and Moore were defensive stalwarts for Millwall as Walsall became increasingly frustrated by their inability to open up the Lions rearguard.
Millwall continued to pressurise Walsall and Harris went close to opening to opening their account only to see Darren Wrack block his close-range effort.
In such a low key affair Paul Ifill had an opportunity to lift the game out of the doldrums early in the second half when he raced three quarters of the length of the pitch only to fire his final effort wide of the post.
However, Millwall's determination finally paid off in the 59th minute.
A strong run by Robbie Ryan ended with a pass from Ifill which Harris hammered past Walker.
Bemused Walsall were in deeper trouble when Ifill increased Millwall's lead in the 63rd minute after the Saddlers failed to clear a corner.
Ifill gained possession and worked his way through Walsall's defence before netting with a powerful shot.
In a determined finish Junior swept the ball home from close range after Millwall failed to clear a Samways corner from the right.