Guly struck early in the first half for the hosts on Saturday and Saints held on to inflict Millwall's first defeat of the season.
Nigel Adkins' side have kept up last term's promotion form and have now won 10 straight matches and 11 on the spin at home, as well as starting a campaign with four victories for the first time in their history.
Saints, as you would expect from a side who had hit nine goals in their first three games, went straight on the attack and David Connolly swept wide from Adam Lallana's corner in the second minute.
Rickie Lambert hit the wall with a free-kick and Connolly missed from long range, before Hameur Bouazza fired Millwall's first opportunity wide.
But the goal Saints were threatening arrived in the 18th minute when Jack Cork, the summer signing from Chelsea, threaded the ball through to Guly who coolly curled it past Millwall goalkeeper Steve Mildenhall.
The Lions should have hauled themselves level 10 minutes later when John Marquis met James Henry's corner but his header flew wide.
Marquis sent a long-range effort straight at Saints goalkeeper Kelvin Davis and Tamika Mkandawire volleyed high and wide as the hosts weathered a mild Millwall storm until half-time.
Southampton started the second half as they did the first with Jose Fonte and substitute Morgan Schneiderlin going close.
But Millwall always looked a threat on the break and Josh McQuoid fired wide from 20 yards before Bouazza sent a shot fizzing narrowly the wrong side of the post
Saints had two lucky escapes in the space of a minute on the hour mark when full-back Frazer Richardson blocked Mkandawire's close-range effort and Northern Ireland striker McQuoid's shot was kept out by Davis at point-blank range.
At the other end England Under-21 midfielder Lallana got a brief glimpse of goal but Jimmy Abdou managed to get a timely block in.
Lambert blasted a 30-yard free-kick over the top while for the Lions, Bouazza and Henry squandered shooting opportunities and Alan Dunne's late free-kick was saved by Davis as Saints went marching on.