Ian Holloway's side had secured only two previous away successes and had tasted victory just once in their previous 13 games, but held on for a precious three points following first-half goals from Scott Malone and Lee Martin.
Forest had caretaker boss Gary Brazil in the dugout, with new manager Stuart Pearce not set to take charge until July 1.
And Brazil did manage to inspire a second-half fightback, with Jamie Paterson heading a goal back in the 53rd minute. But it was not enough for the Reds, who have seen their promotion hopes fade away on the back of 10 Championship games without a win.
Millwall's game plan was to stifle Forest and hit them on the break, and it was an approach that worked perfectly during a one-sided first half.
With two defensive midfielders, in Nicky Bailey and Ed Upson, sat in front of the back four, the Lions had made themselves tough to break down.
Forest lacked the creativity, mustering just one effort of any note in the entire first period in the form of a low shot from Radi Majewski, which was always flying wide of the post.
Either side of that, Millwall emphatically made the most of two of the handful of chances they had managed to carve out.
Stefan Maierhofer had already forced a good save from Karl Darlow with a low, driven shot, after chesting the ball down 10 yards from goal.
And when the big striker then fed the ball to Malone on the edge of the box, in the 19th minute, the midfielder took full advantage. With time and space, Malone let fly with a low shot that, seemingly with the aid of a slight deflection, beat Darlow at his near post.
Danny Collins then had to head past his own post as Millwall threatened again with a cross from Martyn Woolford.
Six minutes before half-time, Millwall struck again from a similar area of the pitch, with Martin cutting inside from the left, darting to the edge of the box and letting fly with a low, curling shot that found the bottom corner of the net.
Forest had seen Greg Halford limp off with an injury, to be replaced by Kelvin Wilson, in the 40th minute - and made a second change during the interval, with Henri Lansbury coming on for Majewski.
And the home side pulled a goal back within eight minutes of the restart. Ben Osborn gave Dan Harding the room to cross from the left side of the box and the full-back did so powerfully, with Paterson flicking a neat header into the corner of the net.
Lansbury came close for the hosts with a powerful free-kick which flew just the wrong side of the post.
However, Darlow also had to save smartly to deny Millwall substitute Steve Morison after he struck a powerful volley.