Watch free-to-view highlights of Saturday's display at The Hawthorns.
Carlos Corberán's men were frustrated on their return to home soil, hitting the crossbar twice through Alex Mowatt and Brandon Thomas-Asante, while Matty Phillips also saw a good close-range effort saved by Millwall goalkeeper Bartosz Bialkowski.
But the Baggies had to be thankful to their own shot-stopper, Alex Palmer, who remained focused to save a Lions penalty on 29 minutes after team-mate Kyle Bartley was judged to have handled the ball from a corner kick.
Check out the WBA TV footage in the video below.
