It was also the Bluebirds' first away success of the season and maintained their place in the Championship's top six, just a point behind early-season leaders Blackburn.
Star midfielder Peter Whittingham, having seen a brilliant first-half free-kick controversially disallowed, opened the scoring after 53 minutes with a rasping 20-yard left-footed shot.
And barely two minutes later the Bluebirds cut the Millwall defence apart with a slick move which was clinically finished off right-footed by Craig Noone from six yards.
The Welshmen have proved dominant on home soil so far this term, boasting a 100 per cent record, but they pitched up in the capital with only one point to show for their efforts on the road.
However, they doused the Lions' early fire and gradually took control, with Whittingham once again pulling the strings from midfield as Mackay's side stretched their impressive run to just one defeat in their last 16 league outings.
Tommy Smith twice went close to adding to Cardiff's tally just after the hour mark, while Noone had a shot from the edge of the penalty area well saved by Maik Taylor.
Millwall threw on Chris Wood, their new loan signing from West Brom, but they had been left flat and downhearted by Cardiff's quick one-two goal blast and have yet to keep a clean sheet in seven league and cup outings.
Both sides had made a bright start to the first half, with Millwall's Andy Keogh seeing a 12-yard right-footed shot blocked by Matthew Connolly, before Alan Dunne fired just wide from 15 yards.
At the other end Taylor pulled off a brilliant reflex save to keep out Whittingham's inswinging 10th-minute corner that looked set to creep into the net.
Two minutes later a well-struck shot by Nadjim Abdou from inside the box was superbly saved by Cardiff's David Marshall. Liam Trotter's 12-yard drive then flashed over the crossbar.
But Cardiff gradually began to get their passing game going and Whittingham had the ball in the Millwall net after 20 minutes, only to see his free-kick disallowed by referee Simon Hooper who had spotted an infringement at the front post, while both Jordon Mutch and striker Nicky Maynard drilled efforts wide of goal when well placed.
The Bluebirds took the contest by the scruff of the neck early in the second period, grabbed their goals, and then comfortably saw out the game to stay among the leading pack in the Championship.