John Bostock enjoyed a dream debut as the on-loan Tottenham striker fired in both his side's goals.
The 17-year-old gave his side the lead with a classy finish after just nine minutes of his debut but soon after Paul Robinson headed home from close range with Bees keeper Lewis Price rooted to his line.
But midway through the half Bostock made it two, curling in at the near post straight from a corner.
Neil Harris thought he had pulled Millwall level just after the hour but his effort was ruled out for offside.
Brentford always coped better with a blustery wind and it was harsh when substitute James Henry scored with a wind-assisted free-kick almost on full-time.