Watford had an early chance with a shot from outside the area by Almen Abdi but it wasn't enough to harm the keeper and it just glanced wide of the target.
Despite Watford's positive start, Millwall responded well through a chance in the 15th minute, which came from Shane Lowry, who fired a low cross into the box but Tommie Hoban was able to get a vital block.
Towards the end of the first half, Liam Trotter managed to produce a right-footed shot from outside of the penalty area but the away side were unable to head into the half-time break with an advantage.
Millwall received the first yellow card of the game early in the second half when Daniel Pudil committed an unfair challenge on Adam Smith and the home side tried to find the first goal of the game shortly after through Troy Deeney.
The ball found the feet of Deeney from a lofting pass by Jonathan Hogg but Deeney was unable to make the most of the opportunity and took his shot over the top of the goal.
Deeney came back again to try to clinch the winning goal of the game but his shot was blocked by Mark Beevers, and then Matej Vydra's corner, which was played to the near post, was knocked away by substitute Andy Keogh.