Goals from Scott McDonald and Scott Malone saw Blackpool fall to their sixth defeat of the season despite Nile Ranger’s first goal for the club.
Australia international McDonald converted Jack Powell’s free-kick after 33 minutes before setting up Scott Malone to make it two just after the break.
Substitute Nile Ranger got Blackpool back into the game but they were unable to grab an equaliser.
The result means the Tangerines remain pointless in the Championship, while the Lions continue to sit pretty in the top half of the table.
Blackpool goalkeeper Joe Lewis had to be quick off his line to punch Lee Martin’s free-kick away in the seventh minute, with Ricardo Fuller poised to head home from 10 yards.
John Lundstram set his sights from well inside his own half after 10 minutes but, despite David Forde being outside of his penalty area, it lacked the distance to trouble the Lions stopper.
Two minutes later Blackpool had a goal ruled out for a foul by Nathan Delfouneso after he unfairly beat Carlos Edwards before crossing for Ishmael Miller to turn home from six yards.
At the other end, Malone poked Martin’s cross a couple of yards wide as he arrived late into the box in the 14th minute and McDonald then made himself space on the edge of the box but his shot lacked the power to extend Lewis.
Andrea Orlandi latched on to a loose ball after 27 minutes and eluded Alan Dunne, only to see the Millwall defender deflect his shot behind for a corner.
The Lions went in front with a well-rehearsed free-kick routine. Debutant Powell sent a low free-kick into the box and McDonald, who had peeled away from his man, fired into the corner.
Blackpool almost responded immediately but an unmarked Orlandi could only turn Lundstram’s set-piece well over the crossbar after 35 minutes.
Five minutes after the break Shaun Williams sent a fizzing drive towards goal for Millwall but Lewis got himself behind it. Just a minute later, the Londoners did extend their lead when McDonald sent the ball across goal and Malone popped up to smash in from four yards.
Mark Beevers headed a cross over in the 56th minute from Millwall’s impressive debutant Powell.
Ranger reduced Blackpool’s arrears 20 minutes from time when he controlled Francois Zoko’s centre before shooting coolly into the corner. Three minutes later the controversial forward reached the byline and picked out Steven Davies but his fellow substitute could not find the target from eight yards.
Zoko shot into the side-netting after 82 minutes, before Forde saved Davies’ 18-yard strike in stoppage time, but Ian Holloway’s Millwall held on to record a deserved three points.