On-loan striker Nathan Delfouneso came off the bench to fire managerless Blackpool to a first home victory since December with a stoppage-time winner.
Millwall had taken a slightly fortuitous lead when James Henry scored straight from a corner.
The Seasiders levelled after the break when Tom Ince slammed home his 17th goal of the season.
And in the dying moments, Delfouneso got in behind the Lions defence and planted a cool finish past David Forde.
The Lions goalkeeper believed the on-loan Aston Villa forward had used his hand to control the ball, but the goal stood.
And Millwall were left to bemoan their luck again when Shane Lowry crashed a vicious volley off the woodwork with virtually the last kick of the game.
There was a sombre tone before kick-off as the Tangerines paid tribute to BBC Radio 5 live commentator David Oates, who died suddenly last weekend.
Oates was a passionate Blackpool fan and the club played snippets of his commentary in the stadium and had a minute's applause.
Blackpool, who this week revealed Billy Davies had turned down the managerial vacancy to take charge at Nottingham Forest, nearly took a stunning early lead when Gary Taylor-Fletcher hit a sumptuous first-time volley that just dropped wide.
But Millwall were looking bright, and Lions striker Rob Hulse bundled a chance against the post.
The visitors broke the deadlock 13 minutes before the break in bizarre circumstances.
Henry whipped in a corner to the near post, where it looped into the top corner with nobody seemingly touching it en route.
Hulse then hit the woodwork for a second time, racing onto a through ball and firing an effort against the crossbar.
Blackpool's top scorer Ince soon levelled, pouncing on a loose ball before taking a couple of strides and rifling home.
And Delfouneso ensured the hosts claimed all three points as he brought the ball down before finishing with aplomb past Forde.
Blackpool caretaker boss Steve Thompson on his future: "Until I know anything different, me and my staff will prepare the players.
"Karl (Oyston, the Blackpool chairman) will make the right decision for the club, I've always said that.
"Obviously he's interviewing people, quite a few people. You never know, it might get back to me.
"As staff and players I can't ask for any more than what they are giving us."
Millwall manager Kenny Jackett: "I'm very frustrated and disappointed with both the goals defensively.
"Over a period of maybe 10 games we've given away too many goals with not enough clean sheets.
"You have to come through those periods of pressure and make sure you don't concede and we didn't do that well enough.
"It was tough for us to get a decision from the referee and the linesman throughout the game, but that's how it is for us away from home."