The Seasiders had to come from behind as the visitors claimed the lead in the first period through a fortuitous strike from James Henry which went straight in from a corner.
The hosts had not looked like threatening too much before Tom Ince, fresh off his brace for the England Under-21s in midweek, slammed home his fourth goal in his past three npower Championship games.
And Delfouneso got in behind the Lions defence in the dying moments to claim all three points for Blackpool and their caretaker boss Steve Thompson.
Blackpool, who this week revealed Billy Davies had turned down the managerial vacancy to take charge at Nottingham Forest, nearly took a stunning early lead when Gary Taylor-Fletcher hit a sumptuous first-time volley which just dropped wide.
The threat of Henry from corners was then made evident when his deep inswinger was touched into the side netting at the back post.
Rob Hulse was a nuisance for the Blackpool defenders throughout and the on-loan striker almost marked his first start for Millwall with a goal after 13 minutes.
Mark Halstead, making just his second start in goal for the hosts, spilled a cross into Hulse's path and he bundled his chance against the post before Blackpool scrambled clear.
The visitors were posing more headaches and it was no surprise when they broke the deadlock 13 minutes before the break, although the manner of the goal came in bizarre circumstances.
Henry lined up another corner and whipped the ball in to the near post where it looped into the top corner with nobody seemingly touching it en route.
It could have been even worse too as Hulse raced onto a through ball before lifting it over the top of the onrushing Halstead only to see the ball come back off the crossbar.
Blackpool were soon level, though, as Ince eventually produced a telling contribution just after the hour mark.
A deflected shot fell to the one man the hosts wanted it to and Ince took a couple of strides before rifling home his 17th goal of the season.
And Delfouneso ensured the hosts claimed all three points as he brought the ball down before finishing with aplomb past Forde.
The Republic of Ireland international believed the Aston Villa forward had used his hand to control the ball, and Millwall were left to bemoan more bad luck when Shane Lowry crashed a vicious volley off the woodwork with virtually the last kick of the game.