The 39-year-old Northern Irishman guided St Johnstone to European qualification for the two seasons he was in charge in Perth and his reign included Saints' highest ever Scottish Premier League finish of third last campaign.
After a playing career with Manchester City and West Ham United before shorter spells at Queens Park Rangers and Gillingham, Lomas began his managerial career at St Neots Town.
He then accepted the St Johnstone job in November 2011 from former Lion Derek McInnes, who left to take over at Bristol City, following a brief spell as West Ham reserve team coach.
Millwall chairman John Berylson said: "I was tremendously impressed with Steve. He has great passion and energy, knows a lot about Millwall as a club already, and this is a job he is genuinely hungry for.
"In some respects, following Kenny Jackett is a tall order, but Steve is very different from his predecessor, younger and with a fresh approach.
"I believe our fans will take to him, and to those who say we shouldn't have appointed a former captain of our biggest rivals, my response is, he has the desire to become a great Millwall manager.
"He understands the rivalry and is keen to be judged over time on his commitment to our club and what he can help us achieve.
"From our point of view, we want the best man for the job, and we believe that man is Steve Lomas.
"I would like to thank the chairman of St Johnstone for allowing us to appoint Steve and for the courteous and professional way in which our business has been conducted."
Lomas will take up his post at The Den next week when he returns from holiday.
St Johnstone chairman Steve Brown wrote at the end of a lengthy club statement: "(Steve) joins Owen Coyle and Derek McInnes in having been successful enough in Perth to warrant a crack at a bigger club.
"We wish him well with that and thank him for his efforts with St Johnstone.
"Finally we would like to thank the Millwall management for the courtesy and professionalism they have shown on dealing with this matter."