David Meyler gave the away side the lead inside the first minute when he raced onto a loose backpass and smashed home to make it 1-0.
After the early goal, both sides settled into the game and tried to gain the upper hand in possession.
Jay Simpson came close to doubling Hull's lead, but he just couldn't quite reach the ball in the box.
Simpson tested David Forde on 33 minutes, but the Millwall goalkeeper stood firm to keep the score at 1-0.
Martyn Woolford had an effort on goal for the home side, but his acrobatic overhead kick rolled wide.