The 23-year-old, who played 33 games for the Devon club last season, scoring twice, has agreed a two-year deal and Lions manager Kenny Jackett couldn't hide his delight over the deal.
"Jimmy is a central midfielder and I am very pleased to bring him to Millwall," he told the club's official site. "He gained good experience in the Championship last year and the fact that he has a real hunger and desire to be successful was a big attraction to me.
"I feel that Jimmy is a player on the way up. He is a good age, 23, and is a midfield player with a bit of everything, including a real strength in his tackling."
Abdou left Home Park after failing to agree terms on a new contract with Plymouth.