The first chance of the game fell to the Owls' recently-signed striker Stevie May, who fired wide from a promising position after just three minutes.
As the first half progressed Wednesday began to increase the pressure on their opponents, and Atdhe Nuhiu came close to edging his side ahead with his powerful header which sailed narrowly over the bar.
The game's opening goal came 12 minutes after the restart from Chris Maguire, who sent a free kick beyond Forde to fire Wednesday ahead.
Martyn Woolford came close to cancelling out the advantage shortly after, only for his strike to end up a few inches above the target.
With six minutes of normal time remaining the Lions were awarded a penalty after Keiren Westwood was adjudged to have brought down substitute Ricardo Fuller. Williams stepped up to take the spot kick but sent his attempt crashing back off the post to seemingly deny his side a share of the spoils.
However, there was still time for Gueye to dramatically level it at the death for Millwall, having sidestepped past his marker before smashing the ball home.