Two goals in each half saw off the weak challenge of Ray Lewington's team despite the Lions being down to their last 16 fit players.
Influential skipper Stuart Nethercott sat out the game after pulling a groin along with striker Neil Harris who was injured in training.
Nethercott's first absence in over 100 appearances meant that the Lions' central defence was made up of former Hornets Darren Ward and Paul Robinson.
The Lions 2001/02 campaign was built on Nethercott's partnership with Sean Dyche, but since the latter was sold to Watford in the summer, Millwall have struggled to recreate that same solidity.
Dyche missed out on a return to his former club as he sat out the game through injury and his side sorely missed him.
Despite the enforced changes, Millwall will not have a more comfortable 90 minutes all season and went ahead in the tenth minute - albeit in dubious circumstances.
Steven Reid's tackle squirted the ball into the path of the visibly offside Steve Claridge, who then made ground to steer home Paul Ifill's cross-shot.
The Hornets responded well to the setback and Heidar Helguson should have brought his team level but blazed his half-volley way over.
Millwall had goalkeeper Tony Warner to thank for maintaining their advantage. He blocked Gifton Noel-Williams' shot with his legs and then reacted quickly to close down Allan Nielsen who had stolen in behind the defence.
But having survived a ten-minute scare, Mark McGhee's men went on to make the most of the game.
Robinson shot straight at Alex Chamberlain from close range before full back Robbie Ryan marked his 200th appearance for the club with only his second ever Millwall goal five minutes before the break.
As Watford failed to clear a short corner Ryan drove home to seal the win as the Hornets failed to show for the second half.
Young Lions striker Kevin Braniff spurned two one-on-one breaks but his misses did not prove costly and he had a hand in the third goal as he exchanged passes with Ifill who turned Wayne Brown before slotting home.
An injury to Reid saw McGhee introduce young winger Peter Sweeney, and the young Scot capped a fine display by lifting a perfect finish with his wrong foot over Chamberlain.