Five defeats and two draws in the league and a Worthington Cup defeat has seen the Lions desperate to restore some local pride.
But it was going to be a tough task as Gillingham has gone into Christmas with three successive wins under their belts.
Kevin Braniff almost gave the South Londoners a dream start but shot straight at Jason Brown and Milwall were made to pay as their recent habit of conceding early goals continued.
Player-Manager Andy Hessenthaler's swirling cross was met on the half-volley by Mark Saunders, who gave the visitors an eighth minute lead.
Only Robin Ryan's last-ditch tackle prevented Rod Wallace from adding another.
However the home side began to recover from their early upset and two stinging Steven Reid drives forced Brown into further action.
Brown was in the action again to pull off two amazing stops to deny Steve Claridge before Millwall drew level through the unlikely figure of full-back Ryan.
He was on hand to stab the ball home on the goal-line four minutes before the break for his first goal in 196 appearances.
Substitute Neil Harris continued the home side's momentum by injecting much-needed pace in the second half.
And it was no surprise when the striker put the home side ahead when he chested down Matt Lawrence's pass and slid the ball home through the keeper's legs.
Milwall's joy was short-lived, however, as Stuart Nethercott was adjudged to have fouled Marlon King and he gave Tony Warner no chance from the penalty spot on the hour mark.
The decision incensed Millwall's fans and players and home boss McGhee was clearly upset with referee Paul Rejer's view of the incident that he believed robbed his team of a win.
Back came the Lions though as Claridge skimmed the bar with a shot, and Harris, who had single-handedly changed the game, lifted his lob over the bar.
Continued pressure saw the Lions pile the pressure on the Gills goal, but they just couldn't find the winning goal that their second half performance deserved.