The Lions broke the deadlock after half an hour when Gary Alexander headed home Dave Martin's left-wing cross from close range.
Only a last-gasp clearance by Aldershot's Ricky Newman prevented Marc Laird connecting with Alexander's low ball across the face of the six-yard box four minutes later.
Alexander missed a sitter for the hosts 36 seconds after the interval when he fired wide from Lewis Grabban's cross with the goal at his mercy and Millwall had a lucky escape on the hour when Tony Craig scrambled Chris Blackburn's shot off the line.
Neil Harris saw his 71st minute goalbound header scrambled away by Blackburn, but Millwall did finally add a second six minutes later when Alexander's header from Paul Robinson's delivery flew into the net.
Substitute Ashley Grimes completed the scoring two minutes from time when he rose to head Chris Hackett's cross beyond Nikki Bull.