A penalty on the stroke of half-time from Ian Thomas-Moore lifted the Merseysiders at Prenton Park and they went on to dominate for much of the second period before on-loan Leeds midfielder Andy Robinson sealed the points.
In a first half of few chances Shaleum Logan went closest for Tranmere while Steve Morison, Neil Harris, Jimmy Abdou and Chris Hackett all missed the target for Millwall.
Neither goalkeeper had a real save to make in the opening 45 minutes before Rovers went ahead in first-half stoppage time.
Thomas-Moore was adjudged to have been tripped by Paul Robinson and netted the resulting spot-kick into the right corner with David Forde going the wrong way.
Substitute Lewis Grabban headed wide from a 57th-minute corner for the visitors with his first touch when he should have done better.
Rovers doubled their lead after 66 minutes with a superb strike by Robinson from 25 yards.