But in the 70th minute, substitute Bas Savage grabbed a decider for the Lions - and they just about deserved it.
Lewis Grabban crossed from the right and, when defender failed to cut out, it got through to the unmarked Ryan Smith beyond the far post.
He knocked it back for Savage to score from close range.
Savage had come on in the 42nd minute to replace the Gary Alexander, who was injured in a tackle which went through his shinpad and necessitated stitches.
But manager Kenny Jackett said afterwards: "He is determined to be fit to play against his old club Leyton Orient on Saturday."
Until the Savage goal most of the goalmouth action had come in the first 20 minutes when Yovil had the better of things.
Millwall keeper Rhys Evans was the hero in that spell.
In the second minute he saved superbly when a Scott Guyett header from a Mark Lynch free-kick looked destined for the net.
And from the resultant corner, he saved superbly when Yeovil debutant Jean Francoise Christophe got in a firm header.
Yeovil also gave a home debut to Martin Woods and in the seventh minute he too was thwarted by Evans.
Millwall had one great attempt in a Yeovil dominated first half, but Scott Flinders saved well from Grabban.
After the break Millwall got on top and Yeovil boss Russell Slade admitted: "We lost our way in midfield and they were the better side in the second half."