The Lions travelled to the City Ground full of confidence on the back of their impressive 3-0 win at Peterborough in midweek, but missed a host of chances and conceded twice in a disasterous first half to leave them with a mountain to climb against their relegation rivals.
James Henry had seen a left-footed volley rebound off the post before Garath McCleary headed the home side in front.
Forest doubled their lead after 38 minutes when Stoke loanee Danny Higginbotham followed-up after Andy Reid's free-kick had only been half-cleared.
Henry was then denied again by the woodwork on the stroke of half time as Millwall desperately searched for a way back into the match.
And they thought they had finally found it when substitute Darius Henderson nodded in from close range in the 64th minute, but Reid's explosive 25-yard drive killed off hopes of a second-half fightback.
With third-bottom Coventry picking up a point at home to Birmingham, and second-bottom Doncaster drawing at West Ham, the Lions saw the gap between themselves and the relegation zone cut to seven points.
Nottingham Forest: Camp, Cunningham, Chambers, Higginbotham, Reid (Lynch, 90mins), McCleary, Gunter, Moussi, Tudgay (Wootton, 90mins), Guedioura, Blackstock (Miller, 90mins).
Millwall: Forde, Dunne, Barron (Smith, 77mins), Abdou, Robinson, Ward, Bouazza, Trotter (Wright, 46mins), Keogh, Kane (Henderson, 60mins), Henry.