Two first-half headers by Stefan Maierhofer at the Riverside Stadium on Saturday put Millwall in control and although Boro pulled one back after the break, they never looked like making it five wins on the spin.
Delighted Holloway insisted the visitors' win was deserved. "It's a fantastic win," he said. "I'm proud of the players.
"We had certain things to concentrate on and we did. We stuck to the game plan.
"I thought the two wide men - Martyn Woolford and Lee Martin - were excellent and the big lad, Stefan Maierhofer got us in front with two good headers.
"I was actually disappointed not to win the second-half because we had a few good chances to put the game to bed."
Millwall are now out of the bottom three and are level on points with Doncaster, who they host on Monday in a game that could clinch Championship survival.
"Nobody has to tell me how important Monday's game is," said Holloway.
"There's no point looking at the League table now, it's all about what it shows after the next three games.
"It's a long journey home now but we'll be focused and ready."
Boro boss Aitor Karanka admitted that his players had been distracted by play-off talk and lacked the mental strength when the stakes were high.
"We need to be much stronger if we want to build something for the future ," he said.
"What I have learned this season is that everytime there has been talk and a possibility of the play-offs that we have not performed and we have lost the next match. We need to change that mentality.
"I was disappointed because we did not play at the level we did in the last four matches. Inconsistency is the biggest problem we have and that we must address.
"Millwall needed to win the game, they needed the points and their mentality was stronger. One one team was fighting for the points and for this I was disappointed."