The Shrimpers controlled the majority of an eventful FA Cup third round clash.
And their biggest threat came from the floodlights, which went out for 15 minutes midway through the first half.
The game got off to a controversial start when Barry Corr appeared to elbow Millwall defender Jack Smith but referee James Adcock opted to wave play on.
The Shrimpers then came close to taking the lead when Anthony Straker saw a low shot saved by Millwall goalkeeper David Forde and both Michael Timlin and Corr had follow-up efforts blocked in the resulting goalbound scramble.
But Corr was not to be denied for long and, with 22 minutes on the clock, he put Southend in front.
Corr headed home his ninth goal in his last 12 FA Cup games when he rose high to head home a right wing cross from captain John White.
Five minutes later the floodlights went out and both teams left the pitch wondering if the match was going to resume.
But when it eventually did, Millwall - who had former Shrimpers striker Neil Harris in charge - suffered another blow in the 44th minute when forward Jermaine Easter was sent off after appearing to stamp on Southend defender Ben Coker.
The Shrimpers then made the most of their extra man just a minute later when Will Atkinson raced on to Timlin's through-ball before confidently chipping the ball over advancing Lions goalkeeper Forde.
Timlin then made it 3-0 in the 57th minute with his first goal since February 2012 when he fired home a low, right footed shot from the edge of the penalty area.
Millwall got back in to the game seven minutes later when substitute Martyn
Woolford collected a right wing cross from Steve Morison and sent a neatly controlled volley in to the bottom right hand corner of the net.
But the Shrimpers were immediately back on top in the appalling wet conditions with Ryan Leonard having an outrageous 50 yard shot tipped over the crossbar by the back-pedalling Forde.
Corr then headed a left wing cross from Straker against the outside of the left post before Southend sealed their shock win in stoppage time, with Leonard again on target.
The midfielder, who scored twice in Wednesday's 2-1 win against Portsmouth, charged through the centre of the pitch before sending a powerful 16-yard shot into the top left hand corner of the net.
That completed a memorable afternoon for the Shrimpers as they reached the fourth round of the competition for the first time since 2008.