The 24-year-old has signed a one-year contract at The Den with the option of a further 12 months.
He has been training at the club for the past couple of weeks and featured in the first half of Millwall’s 1-0 friendly victory over Dartford.
Gueye made 39 appearances during his time at Everton, scoring three goals.
The winger played for France at Under-16, Under-19 and Under-21 level but represented Senegal at the London 2012 Olympic Games, where the African side reached the quarter final stage.
He is Millwall’s fifth summer signing, with manager Ian Holloway having already recruited Lee Gregory, Ricardo Fuller, Carlos Edwards and Byron Webster.