A header by Steve Morison 15 minutes from time cancelled out Joe Ralls' opener - and kept the bottom-placed Glovers six points adrift of the 21st-placed Lions in the Sky Bet Championship.
Holloway, who named an attacking line-up with Simeon Jackson, DJ Campbell, Scott McDonald and Morison all starting, feared the worst when Yeovil took the lead - but hailed his players' character to fight back and claim a point.
"It's a mixed bag for me - we wanted three points but the lads keep pleasing me, particularly after going one down," he said.
"I can't ask the boys to try any harder. You could see by the team I selected that we had a lot of forwards on the pitch, but we were disciplined.
"I'm delighted with our lads' characters. We got stronger instead of weaker and by the end I will probably take a point.
"Everyone has accepted my decisions and that's a huge step forward in what has been a horrible season. I've seen massive improvements but I won't stop until we see even more, and they're coming.
"This is a tough job but I'm loving it. I'm a lucky man working for Millwall with a bunch of lads who never give up.
"Fair play to Gary Johnson and Yeovil - they are the pride of the West Country. When I left here a few years ago they were a non-league team, and look at them now. They make football dreams happen."
Yeovil manager Gary Johnson bemoaned two points lost in their quest for Championship safety.
Johnson said: "It's very frustrating as we had most of the game and a few chances we didn't take, and of course Millwall came here and a draw is probably better for them than us.
"They only had one late real chance which we gave them, let the cross come in and let their best header of a ball score.
"It feels like a loss because we needed to win, but now we have to go and get a result somewhere else.
"We needed to try and demoralise Millwall with our play and goals. We had a lot of the play but didn't score the goals. We scored late in the second half, and then it's always dangerous as they threw everyone forward and had nothing to lose.
"I thought James Hayter and Joe Ralls came on and livened us up a bit, and at that point I thought things were looking okay, but one lapse of concentration and teams at this level punish you.
"We've got to believe we can get those six points back - I don't think it is insurmountable."