Veteran striker Tommy Mooney hit the visitors with two goals and unlucky Neil Harris scored an own goal as Richard Money's men raced into a 3-0 half-time lead which they never looked like surrendering.
Millwall will be rueing their luck because they didn't play badly, but the opening goal came during a six-minute spell when they were down to ten men, with midfielder David Brammer off the field having attention to a cut eye and the second came from a mistake by defender Zak Whitbread.
But there was no denying Walsall's overall superiority, with Darren Wrack controlling midfield and rookie full-back Richard Taundry having a fine game on his full debut in a generally young Saddlers side.
Gary Alexander, impressive for the Lions, went close to scoring a couple of times early on, but Brammer had to go off in the 25th minute and Walsall struck just four minutes later.
A deep cross by Rhys Weston was headed back by Michael Ricketts and Mooney fired home his eighth goal of the season from close range.
Walsall's second came in the 38th minute when a mistake under pressure by Whitbread presented the ball to Mooney and the striker drew keeper Lenny Pidgeley before sliding the ball in from an angle.
Walsall were now looking rampant and when Ricketts drove over a low cross Harris could only turn the ball past his own keeper.
In the second half Pidgeley had to make saves from both Troy Deeney and a blistering shot by Weston, as Walsall piled on the pressure.
Harris saw one shot go over in the 78th minute as plucky Millwall continued the fight, but at the other end another save by Pidgeley prevented Mooney from completing a hat-trick with a fine header from another cross by Weston.