Goals from Carl Asaba and Ben May handed the visitors the morale-boosting win in their own battle at the opposite end of the table, although they remain five points adrift in the bottom three following Sheffield Wednesday's win at Wolves.
But the eventual outcome did not look on the cards during the opening half hour in which the Hornets pinned the Lions back for long periods and seemed set to make the breakthrough.
And the goal their approach play merited should have arrived after 25 minutes when Zak Whitbread was adjudged to have handled in the penalty area.
However, Gavin Mahon rather telegraphed his spot-kick and Andy Marshall saved it low to his right.
That let off boosted Millwall's confidence and they perhaps should have taken the lead in the last minute of the first half when they broke three on one and Alan Dunne slipped in Asaba but the striker shot wide of the target.
But the Lions began to look increasingly like they would score after the break and it came as no real surprise when they took the lead after 66 minutes.
Jamie Vincent slipped in Colin Cameron from the left flank and the on-loan Wolves midfielder calmly rounded keeper Ben Foster before squaring the ball to gift Asaba his fourth of the season.
Not surprisingly the Hornets then began to press in increasing numbers as they sought an equaliser and they missed a good opportunity to do just that when Darius Henderson knocked a Lloyd Doyley cross back into the path of Alhassan Bangura but the substitute, who had only been on the pitch for barely a minute, shot wide of the near post.
But it then took an outstanding Marshall save to prevent the home side getting back on level terms when he acrobatically tipped over an audacious curling shot from Ashley Young.
But as Watford committed more bodies forward they always ran the risk of being opened up on the counter attack and that was exactly what happened in stoppage time when David Livermore released May who calmly slotted the ball past Foster.