The visitors got off to a flying start when Gary Alexander was on hand to head home inside five minutes.
Top scorer Matthew Lockwood curled over a corner to the far post and the powerful forward headed home.
Orient doubled their lead a minute later when they caught Millwalll on the break. Justin Miller sent Ryan Jarvis scampering down the wing on the counter-attack with a tremendous ball and the former Gillingham man squared the ball to Alexander.
This time though his shot was parried by Lenny Pidgeley, but Jarvis was quickly into the box to head home the rebound.
Millwall went straight on the attack and Neil Harris was denied by the crossbar when Glyn Garner looked beaten by his looping header.
Incredibly it was 3-0 to the visitors when Jarvis pounced on a mistake from Mark Phillips before rounding the keeper for his second of the game, despite the best efforts of Millwall skipper Richard Shaw on the goal-line.
The game threatened to boil over as the challenges flew in and Garner was fortunate to stay on the pitch after bringing down Marvin Williams at the second attempt by the corner flag. Referee Alan Wiley let him off with a caution.
Williams curled in the resulting free-kick and this time it was Phillips who was denied by the bar.
But Martin Ling's side had to endure a ferocious fightback from in-form Millwall in the second half.
An Alexander own goal and a brilliant finish from Poul Hubertz made it 3-2 on 69 minutes.
Jarvis added the fourth when he beat the hapless Pidgeley to the ball outside his box and walked the ball into an empty net with 15 minutes left and sub James Walker made it five in stoppage time with his first touch.