Kenny Jackett's Lions survived an early onslaught from the Sky Blues at the New Den and took the lead in the 17th minute when the impressive Martin Cranie turned Steve Morison's cross into his own net.
Coventry levelled on the hour mark through Aron Gunnarsson's neat finish but Aidy Boothroyd's side undid all their hard work with a crazy seven-minute spell.
Substitute Carl Baker saw red in the 72nd minute for a second booking and Millwall duly capitalised with Liam Trotter's third goal in four games restoring their lead three minutes later.
With 11 minutes remaining, Morison was hauled down in the box and the Wales international sent Iain Turner the wrong way from the spot, lifting Millwall above Coventry and into fourth place.
Coventry had the first chance after four minutes when Darren Ward brought down Clive Platt and Gary McSheffrey fired in a free-kick from 25 yards but his effort was parried away by Millwall goalkeeper David Forde.
For all Coventry's enterprising play, they went behind after 17 minutes as Millwall capitalised on their first meaningful attack.
Morison embarked on a fine run to the byline and crossed towards James Henry but Coventry defender Cranie deflected the ball into his own net.
The Sky Blues briefly responded with McSheffery firing over from 12 yards but Millwall came close to extending their lead on the half-hour mark when Neil Harris headed just over from Henry's free-kick.
Harris came even closer eight minutes before half-time but his shot from just inside the box cannoned agonisingly off the bar after more good work by Morison.
With the half-time whistle approaching Gunnarsson had a sight of goal from close range but he was put off by a good challenge from Ward and dragged the shot wide.
Millwall remained in the ascendancy at the start of the second half and Harris continued to cause the Coventry defence problems with a shot from just outside the box that Turner saved.
Minutes later, Harris knocked the ball inside to Morison who took the shot on first time but his effort flashed just over the bar.
However, Coventry drew level on the hour when Clive Platt flicked the ball into the path of Gunnarsson who shrugged off the challenge of Ward before sliding a shot through the legs of Forde.
The Lions responded well and Morison went agonisingly close with a header that crept just wide before Liam Trotter saw a shot from the edge of the box superbly tipped around the post by Turner.
Coventry's task got harder when substitute Baker kicked the ball away and received a second booking just 14 minutes after coming on.
The home side compounded Coventry's misery minutes later when a long ball from Jimmy Abdou found Trotter who lobbed over the onrushing Turner and into the empty net.
Morison had terrorised the Coventry defence all afternoon and he wrapped up proceedings from the spot after being brought down by a clumsy challenge from James McPake.