Jimmy Abdou fired the hosts into the lead on four minutes, before Peter Vincenti produced a leveller on 43 minutes.
But Dale’s equaliser was short-lived as Shaun Williams worked his way into the box just one minute later and fired into the roof of Josh Lillis’ goal, while Steve Morison netted the Lions’ third on 60 minutes.
It was the first meeting between the two sides since April 1965.
Manager Keith Hill made two changes to the team that defeated Scunthorpe United last Saturday. Michael Rose returned to the fold, while Joe Bunney also earned a starting spot after netting against the Iron.
The Lions took an early lead when Aiden O’Brien found Abdou in the centre of the box, who slotted easily past Josh Lillis, despite Dale enjoying the larger share of opening possession.
Neil Harris’ men came close to doubling their advantage 20 minutes later when Morrison squared the ball to Shaun Williams inside the area, but Andy Cannon reacted well to deny the midfielder’s effort with a well-timed block.
Dale responded with a string of chances mid-way through the first half when Peter Vincenti tested Jordan Archer with a low drive, before Matty Lund’s audacious strike from 25 yards was palmed away by the Millwall stopper.
The Lions had the chance to extend their lead five minutes before the break when Morison charged down the right flank before firing a low drive across the face of a goal – a delivery that the sliding Abdou came agonisingly close to getting a touch to.
And just as the hosts had failed to convert that golden opportunity, Rochdale grabbed a deserved equaliser.
Ian Henderson spotted Joe Bunney on the edge of the area, who held the ball up marvellously, before finding the head of Vincenti who nodded past Archer, and sent the travelling Dale fans into the raptures.
But Dale’s celebrations were short-lived, as Williams showed great technique to beat his marker inside the box and fire into the roof of Lillis’ net, propelling his side back into the lead in the dying embers of the first half.
Hill’s men enjoyed some promising chances at the beginning of the second half. Vincenti went close to grabbing another equaliser with his head, but his effort at the back post went narrowly wide on 53 minutes, while young skipper Jamie Allen forced another save from Archer with a powerful strike from 30 yards.
The visitors then found themselves trailing by two goals on the hour-mark when Morrison raced into the box and fired past Lillis to record the Lions’ third.
Substitute Lewis Alessandra shot high and wide 15 minutes before time, while Donal McDermott’s corner was cleared away minutes later.
Shot-stopper Lillis produced a marvellous double save to deny Ed Upson’s strike on the edge of the area five minutes before time, parrying away the midfielder’s effort, before acting quick to thwart former Manchester United player Lee Martin on the rebound.
REPORT BY SIMON ROWBOTHAM
MILLWALL: Archer, Edwards, Craig, Williams, Onyedinma (Upson ’61), Beevers, Webster, Ferguson (L Martin ’80), Morison, O’Brien (Marquis ’76), Abdou NOT USED: Forde, J Martin Gregory, Thompson
ROCHDALE: Lillis, Kennedy, Cannon, McNulty, Lancashire, Allen, Rose (McDermott ’68), Vincenti, Lund, Bunney (Andrew ’46), Henderson (Alessandra ’68) NOT USED: Musangu, Rafferty, Eastham, Camps.