Millwall boss Steve Lomas is keen to bolster his attacking options after losing Steve Morison, Andy Keogh and Jermaine Easter to injury and he has moved to set up a deal for former England Under-21 international Waghorn.
Millwall are thought to have beaten off interest from several Championship rivals to land Waghorn.
Waghorn has found himself down the pecking order at Leicester and has made just two substitute appearances for the Foxes this season.
Leicester are willing to let Waghorn go out on loan and the former Sunderland man is keen to get regular first-team football under his belt.
Millwall are thought to have agreed a three-month loan deal for Waghorn and the 23-year-old could go straight into the Millwall side to face Derby this weekend.