A first-half header from Michael Turner saw the home side in front at half-time, then a late Ian Ashbee strike in the second made sure of the win at the KC Stadium.
Peter Halmosi tried his luck early on for the home side, but his left-footed effort from 18 yards was comfortably saved by keeper David Forde.
Phil Brown's men were in front on 15 minutes as an Andy Frampton foul on Sam Ricketts allowed Andy Dawson to swing in a free-kick from the right on to the head of Turner.
The Hull man made no mistake as he sent the ball into the bottom corner of the net from six yards.
Millwall were nearly gifted a goal on the half-hour mark as Tony Warner mis-controlled a back pass from Ashbee, allowing frontman Izale McLeod to nip the ball off his toe inside the area.
The ex-Fulham keeper managed to dive on the ball, but gave away a free-kick in the process. Lions' number ten Lewis Grabban fired in the close-range set-piece, but he dragged his right-footed effort well wide of the post.
The visitors had a golden opportunity just before the break as McLeod controlled a cross from David Martin and played a neat ball across the box into the oncoming Marc Laird, but the Scottish midfielder could only scoop his effort over the bar from close range.
Hull substitute Nicky Featherstone created a decent chance midway through the second half as his curling cross from the left found Manucho at the back post, but the Manchester United loanee couldn't get enough power on his header and his tame effort was comfortably caught by Forde.
The Premier League side sealed the win in style with five minutes left on the clock.
Daniel Cousin laid the ball off to Tigers captain Ashbee who fired the ball right-footed into the top corner of the net from 20 yards to make it 2-0.