The Sheffield United midfielder, who will remain at The Den until the end of the season, is eager to get some competitive games under his belt after slipping down the pecking order at Bramall Lane.
"I found myself sitting on the bench and when the opportunity came up to help Millwall avoid relegation, it was one I definitely didn't want to turn down," Montgomery told the club's official website.
"After speaking to Kenny Jackett I was in one mind and I wanted to come.
"I have had plenty of opportunities to leave Sheffield United in the past but I have had a tough couple of months earlier in the season."
The Scottish international supported Saturday's opponents Leeds United as a youngster but is keen to face his boyhood club.
He added: "I am definitely not going to do Leeds any favours. I have scored against them in the past and done well."