Brighton manager McGhee sprung a surprise on his relegation rivals by going with a three-man attack and dropping his skipper Guy Butters for the first time this season.
And how it paid off as rampant Brighton scored twice inside the opening 11 minutes and could have won by a whole lot more.
But it was all fairly meaningless as Sheffield Wednesday's point from a draw with Burnley means both Millwall and Brighton will probably end up going down together.
Brighton fans celebrated as if they were staying up at the end but the Millwall contingent in a 13,209 crowd seemed to know the score.
The opening goal came in the sixth minute from Paul Reid who was recalled to the starting line-up for the first time since February.
Gifton Noel-Williams crossed from the left and Millwall keeper Andy Marshall came and missed under pressure from Gary Hart leaving Reid the chance to drill in a low shot with two defenders stranded on the line.
Paul McShane came up from defence to stoop and head in the second from stand-in captain Richard Carpenter's corner five minutes later.
Reid missed a chance to totally put the game to bed soon after as Brighton battled on with ten men for 11 minutes while Hart received treatment on a head wound for what appeared to be an off the ball elbow from Millwall's Matt Lawrence.
They ultimately gave up trying to stem the blood and substitute Joe Gatting came on as Millwall were booed off at half-time.
Millwall manager David Tuttle tried to change things in his favour with a double substitution to start the second half, but Brighton stayed on the attack and Marshall produced an excellent save to deny Gatting less than two minutes after the restart.
Young striker Gatting, son of former Arsenal man Steve, then missed another couple of quick chances before he was substituted after only 15 minutes on the pitch and was replaced by the more defensive Kerry Mayo.
McGhee seemed ready to shut up shop, but Millwall showed they were still dangerous when Marvin Williams shot within a whisker of a post and Colin Cameron had a shot tipped over the bar.
But it was too much to ask for a comeback now and Brighton battled their way through unscathed to see the game out with a clean sheet.