Fit-again David Edwards, making his first appearance since February having overcome a back injury, and Adam Hammill struck inside the opening seven minutes as the Premier League hosts flew out of the blocks.
George Elokobi tapped home a 38th-minute third following Adlene Guedioura's dazzling run, before 18-year-old local lad James Spray - a second-half substitute making his Wanderers debut - and a stunning 30-yard strike from Guedioura completed a miserable night for Championship side Millwall.
The emphatic victory, in front of just 7,749 supporters, will bring welcome relief to a Wolves side who have suffered back-to-back league defeats and had not scored in three matches going into the tie.
They will now take their place in the last 16 of the competition for the second successive season, albeit only the third time in the last 16 years.
Mick McCarthy, who ended his playing career with Millwall before cutting his managerial teeth at The Den, rotated his ranks and made eight changes to the Wolves side who surrendered meekly 3-0 at home to QPR on Saturday.
Edwards, Hamill, Guedioura, Dorus de Vries, Stephen Hunt, Sam Vokes, Nenad Milijas and Matt Doherty all came in.
Lions boss Kenny Jackett, battling injury and ineligibility, made five changes to the XI who fought out a goalless stalemate against London rivals West Ham at the weekend.
But it was Wolves, with a point to prove, who made the dream start.
Hunt, skipper for the night, sent in an inswinging cross from the right and an unmarked Vokes saw his header parried down by Steve Mildenhall, with Edwards pouncing quickest to poke home from close range.
And with just seven minutes on the clock it was 2-0.
James Henry fouled Milijas in a central position 25 yards from goal, leaving Hammill to step up and curl an inch-perfect free-kick into the top corner.
It was all Wanderers in the opening 20 minutes as Guedioura, twice, and Milijas both tried their luck.
A sweeping move containing at least a dozen passes presented Hamer Bouazza with Millwall's first opening of the tie but his low effort from the edge of the area was comfortably saved by De Vries.
Wolves' early dominance had subsided and only a last-ditch Elokobi block denied well-placed Dany N'Guessan's goalbound effort from testing De Vries.
But the tie was pretty much over as a contest seven minutes before the break as Algeria international midfielder Guedioura embarked on a mazy run into the right side of the penalty area and sent a composed pass across the face of goal for left-back Elokobi to tap home.
N'Guessan stung the hands of De Vries at the other end but the first half firmly belonged to Wolves.
Edwards was replaced by Michael Kightly at the break while Scott Barron came into the fray for Millwall in place of Bouazza.
Hammill brought a comfortable save from Mildenhall minutes after the restart before Henry fired straight down the throat of De Vries, who collected at the second attempt.
With the home side's work done in the opening seven minutes and any potential nerves eased, the clash became a more balanced affair in the second half.
N'Guessan continued to be Millwall's liveliest outlet but the second-tier side were largely toothless in attack, with De Vries still to be seriously tested.
Kightly saw his 69th-minute effort parried for a corner by Mildenhall, before Vokes headed over Hammill's cross from six yards.
Spray was introduced for Hunt in the 74th minute and the youngster wasted little time making an impact, firing home after the ball had broken his way six yards out.
Barron and Henry forced De Vries into further routine saves before Lions counterpart Mildenhall reacted well to keep out Vokes' header.
But the last word was saved for Guedioura, whose sweet 30-yard strike in the 88th minute was the icing on the cake for Wolves.