Wolves outplayed last year's FA Cup finalists Millwall to win their first match since Glenn Hoddle took charge.
Ki-Hyeon Seol side-footed home from 18 yards to give Wolves an early lead and minutes later Carl Cort headed home Mark Kennedy's inviting cross.
Wolves continued to create chances, with Kennedy and Jolean Lescott both going close from distance.
Graham Stack saved from Lee Naylor, while Peter Sweeney did muster a shot for Millwall but Matt Murray saved.
Wolves had drawn five and lost one since Hoddle took so the victory comes as welcome relief for the new manager.
Murray and Paul Ince came into the Wolves starting line-up from the team that lost at Wigan, with Michael Oakes and Keith Andrews making way.
Millwall boss Dennis Wise brought Graham Stack, Anton Robinson, Peter Sweeney, Jody Morris and Barry Hayles into his starting line-up.
But his team were no match for a Wolves team desperate to return to winning ways and soon trailed.
Seol's opener came after eight minutes and Cort doubled the home team's lead just three minutes later.
Defender Joleon Lescott volleyed narrowly over the crossbar, Kennedy went close from 25 yards and Stack saved from Naylor as Wolves dominated the opening half.
Wolves keeper Murray was called into action before the break, saving from Peter Sweeney.
Chances were at a premium after the break, but Lescott and Kenny Miller came close to doubling his team's lead.
Wolves boss Glenn Hoddle:
"I'm delighted with the first win. We hope this is going to kick-start us in the league as well because it should give us some confidence."
"We played some excellent stuff in the first half and we came out of the blocks much quicker than them. It was also good to get a clean sheet.
"The FA Cup has been good for me but now it's important we give the fans a nice run."
Millwall boss Dennis Wise:
"We had a good go in the second half after I said that we either did that or just died and lost by four or five.
"If we had got one back, I think Wolves might have been panicking a bit but I'm sure it will be different in two weeks' time when I have my players back.
"It's a blow to us to go out but good luck to Wolves. I hope they go all the way."
Wolverhampton: Murray, Naylor, Lescott, Craddock, Clyde,Kennedy, Ince, Olofinjana (Cameron 78), Seol, Cort,Miller (Newton 88).
Subs Not Used: Oakes, Andrews, Clarke.
Goals: Seol 8, Cort 11.
Millwall: Stack, Simpson, Phillips, Lawrence, Elliott,Robinson (Weston 52), Sweeney (Healy 45), Morris, Dunne,Braniff, Hayles.
Subs Not Used: Masterson, Donovan, Hendry.
Booked: Sweeney, Hayles.
Ref: L Mason (Lancashire).