Loan signing Tresor Kandol headed the opener from close range in the eighth minute of Saturday's League One clash from Lewis Grabban's cross after good approach work.
Ian Moore and Steve Jennings wasted chances for the Merseysiders before Millwall doubled their lead in the 13th minute.
Gary Alexander headed on a long free-kick by David Forde and this time Kandol produced a fine finish into the right hand corner.
As Tranmere tried to get back in it Bas Savage was unlucky to see a shot deflected for a corner.
Gareth Edds replaced Steve Jennings for Rovers after 55 minutes. He should have found the target with his first touch from Chris Greenacre, but chipped the ball well over.
It was curtains for the home side in the 61st minute. Kandol this time turned provider for Jimmy Abdou to net as Tranmere looked in vain for the offside flag.
Savage headed home from Chris Shuker's free-kick in injury time, but it was too little too late for Rovers.