The Lions looked bright early on and were twice robbed of goals by clearances off the line in the opening 12 minutes.
Jason Price saw his effort hooked away by Nathan Smith and, a minute later, Danny Hutchins was was in the right place at the right time as Zak Whitbread looked sure to have scored with an overhead kick.
But Yeovil weathered the storm and took the lead in the 40th minute. Keiran Murtagh's finely-crafted cross found Jon Obika, a loanee from Spurs, who slotted the ball home for his third goal in successive home games.
Yeovil added to their lead five minutes after the break when Paul Warne fed Gavin Tomlin on the right and he beat goalkeeper David Forde at his far post with a perfectly placed drive.
And, to add to Millwall's problems, centre-back Alan Dunne was sent off in the 72nd minute for a second yellow card.