Forest enjoyed plenty of the ball in Saturday's Championship clash, particularly after half-time, but lacked the incisiveness that marked much of the hosts' attacking play.
Darius Henderson scored his first Millwall goal on his home debut in the opening stages and, as the Reds struggled to find a way through, Liam Trotter made sure of the win on the counter-attack with 13 minutes to play.
American striker Robbie Findlay prodded against the post midway through the second half for Forest, but clear-cut chances were a rarity for the visitors.
West Brom forward Ishmael Miller is on the verge of completing a move to the City Ground and McClaren will hope he can bring some much-needed firepower to a side that opened their campaign with a goalless draw against Barnsley last week.
Millwall got off to the perfect start when Henderson, a summer signing from Sheffield United, converted James Henry's corner in the sixth minute.
Forest looked to fashion a way back into the game but were restricted to long-range efforts from Andy Reid and Lewis McGugan and appeared to lack a cutting edge.
They might have slipped further behind with 26 minutes gone and were relieved to see goalkeeper Lee Camp hold on after Henry found space inside the visitor's penalty area.
Henderson should have doubled his account from another set piece shortly after the half-hour when his six-yard header from Hamer Bouazza's centre fell wide.
On the stroke of half-time Andy Reid sloppily conceded possession to Henry, who surged towards the Forest goal with options either side only to blaze over from the edge of the area.
Forest showed composure in possession in the opening moments of the second half, but Millwall continued to operate at a higher tempo and caused their opponents problems.
In the 54th minute a Lions attack was only half cleared by Chris Cohen to Liam Trotter, who drilled wide from 18 yards.
Cohen was back in the action at the other end when he was released by Reid and his drive was turned against the outside of the post by Findley.
A long-range strike from Cohen was held by David Forde with 68 minutes gone and Forest were growing in stature, although Bouazza drew a fine save from Camp moments later.
Millwall sealed the points on the counter-attack after another lengthy spell of Forest possession.
Substitute Dany N'Guessan broke away down the left and arrowed the ball across the six-yard box for Trotter to sweep home.
N'Guessan almost piled more misery on McClaren's men, but Tamika Mkandawire could not direct his powerful cross goalwards.