Graham Stack denied Paul Shaw and Alan Quinn before Blades keeper Paddy Kenny and Lions captain Kevin Muscat were sent off for clashing at half-time.
With defender Phil Jagielka in goal for the visitors, Mark Phillips nodded Millwall ahead but Andy Liddell's blistering free-kick levelled it.
And Derek Geary won it with a stunning 30-yard volley which flew past Stack.
Sheffield United boss Neil Warnock on the fracas at half-time:
"We have someone filming us this season for a TV programme, and
we are hoping that our man has it on video.
"I would love to see the video come out. Paddy Kenny has a balloon on his
forehead like you have never seen. I will take the video to the FA myself to
ensure it gets there.
"If somebody head-butted me like somebody has head-butted Kenny, then I would
chin him. We know who it is, but that is not for me to say."
Millwall: Stack, Muscat, Phillips, Ward, Livermore, Ifill,
Serioux (Elliott 45), Morris, Sweeney, Dobie (Lawrence 45),
Hayles (Tessem 64).
Subs Not Used: Marshall, Simpson.
Sent Off: Muscat (45).
Goals: Phillips 58.
Sheff Utd: Kenny, Bromby, Jagielka, Morgan, Geary, Harley,
Thirlwell (Liddell 75), Quinn, Tonge, Shaw,
Gray (Cadamarteri 75).
Subs Not Used: Wright, Montgomery, Francis.
Sent Off: Kenny (45).
Booked: Harley, Geary.
Goals: Liddell 77, Geary 84.
Ref: I Williamson (Berkshire).