The highly-rated striker arrives at The Den for an undisclosed fee and has penned a three-year contract.
The 25-year-old, who has been on the books at Sheffield United and Mansfield Town in the past, netted 31 goals in 39 appearances last season to spark a scramble for his signature.
Clubs from the Championship and Leagues One and Two were reported to be closely monitoring his situation heading into the summer.
It is Millwall who have emerged victorious in that chase, with Gregory offered the opportunity to step up into the second tier.
Ian Holloway is convinced that the deal will prove beneficial to all concerned, with Gregory fully deserving of a chance to prove himself on a grander stage.
He told the club’s official website: “As a player, Lee’s movement and finishing reminds me of Neil Harris, and if he can enjoy anything like Chopper’s success at Millwall, I’ll be delighted.
“I think our fans will take to him and he’ll score goals for us next season.”
Millwall have moved quickly to acquire the services of a proven goal-getter after finding the target just 46 times in as many fixtures during the 2013/14 campaign.