Martin Allen's rock-bottom Robins have now taken just two points from the last 39 on offer and are staring relegation in the face. But they started brightly against play-off chasing Millwall with Ian Westlake bringing a fine save from goalkeeper David Forde, who also tipped a Drissa Diallo header onto the crossbar.
Cheltenham deservedly went ahead on the half hour when a cross from teenage winger Marley Watkins was turned into his own net by Richard Duffy under pressure from Robins youngster Nicholas Bignall.
Watkins went close to a second early in the second half but within minutes Millwall were level. Cheltenham skipper John Finnigan gave the ball away in midfield and James Henry's cross was handled by Lee Ridley. Henry sent Scott Brown the wrong way from the spot.
Millwall went ahead on the hour when another Henry cross was swept in from close range by Ashley Grimes and after that the result was never in doubt.
The final nail in Cheltenham's coffin came in the 89th minute when Grimes' cross was drilled home from 20 yards by Marc Laird.