Convey, sent off during the USA's victory over Trinidad & Tobago in midweek, took his frustration out on Millwall, who had goalkeeper Andy Marshall sent off for a deliberate handball midway through the first half.
Winger Convey opened the scoring after six minutes, skipping past Sam Igoe and Matt Lawrence on the halfway line and ending a 70-yard run with a neat finish beyond the reach of Marshall.
Ironically the goal came on the counter attack from a Millwall corner after Reading keeper Marcus Hahnemann had sensationally denied Ben May and early opener.
Hahnemann followed that with an even better stop to keep out May's point-blank header on 12 minutes before it all went horribly wrong for Millwall.
They lost captain Lawrence to a medial ligament injury after 14 minutes and were then left without their keeper too as Marshall's rush of blood left the Lions all but defenceless.
The keeper only half cleared Marcus Phillips' back pass and then stretched to keep out Leroy Lita's goalbound follow up despite being four yards outside the penalty area.
With no other fit keepers at the club, the Lions were forced to play Phillips in goal and the central defender was beaten three times in 20 minutes as Reading rubbed salt into Millwall's gaping wounds.
The makeshift keeper's first touch was to pick the ball out of his net after Convey had rolled in a sublime free-kick.
The American winger had already crashed another free-kick against the inside of the post and it was his dead ball prowess which led to James Harper heading home Reading's third.
Phillips was beaten again two minutes before the break as Dave Kitson's penalty squirmed through his grasp after Igoe had handled a Glen Little cross.
The defender was put out of his agony at half-time as substitute Adrian Serioux became Millwall's third goalkeeper of the afternoon.
The Canadian looked far more composed than Phillips and even prevented Lita from joining in the fun late on.
But there was nothing Serioux could do about Steve Sidwell's diving header from a Little cross as Reading completed the job in the second half to end the afternoon on the top of the table.