United went into a 4-0 lead within an hour in front of over 30,000 at Elland Road, thanks to goals from David Prutton, Jermaine Beckford and a double strike by skipper Jonathon Douglas.
Millwall netted twice in the last half-hour, but unbeaten United comfortably claimed their 11th win from 13 matches to move within four points of leaders Carlisle, who they meet next week at Brunton Park.