The 22-year-old, who signed on loan from Championship outfit Peterborough United 24 hours before kick-off, netted after 64 minutes to put the hosts in control at The Den.
Winger Danny Schofield had already put the Lions ahead in the dying moments of the first half before Batt's strike killed off any hopes of a Southend comeback.
The Shrimpers threatened briefly when Matt Paterson shot over the upright six minutes later following good play from Franck Moussa.
But Lions winger Schofield made no mistake in first-half stoppage time when he pounced on Jack Smith's mishit shot and fired the ball home from six yards.
And Batt marked his first appearance for the club by shooting high past Southend goalkeeper to continue Millwall's unbeaten league start to 2010.