The Tigers took a very early lead inside the first minute when David Meyler pounced on a loose back pass and smashed past the goalkeeper to make it 1-0.
Hull almost doubled their lead, but Jay Simpson couldn't reach the cross into the area.
Simpson then tested David Forde after 33 minutes, but the Millwall goalkeeper kept the striker out to keep the score at 1-0.
Millwall had an acrobatic effort for the home side, but his overhead kick rolled wide.
Both sides struggled to make an impression on the game in the second half as the play became more scrappy in the centre of the park.
James Henry broke clean through on goal for Millwall on 65 minutes, but his finish was wild and cleared the crossbar.
Nick Proschwitz had a chance to extend Hull's lead on 76 minutes, but the German's finish was lacking from 18 yards out.
Henry had a shot from just inside the box on 81 minutes, but his effort was saved well by David Stockdale.