And it was unlikely hero Poul Hubertz who came off the bench to seal the three points just a week after the club's 5-1 thrashing at Chesterfield.
The improvement was visible this week, however, as the club's bright young stars Marvin Williams and Tom Brighton stole the show.
The latter was signed in the summer from Clyde and was a valuable outlet for the hosts on the left-hand side during the opening stages.
A beautiful cross on 14 minutes only just evaded Williams at the back post and he also had a deflected free-kick tipped over the bar a minute later.
But the best opening for Millwall in the first half came when Williams played a one-two with strike partner Kevin Braniff and had his low shot well saved by Chris Haworth from 12 yards.
Oldham's best chance came on the stroke of half-time when Lions defender Paul Robinson nearly put a teasing Andy Liddell cross into his own net with Maheta Molango applying the pressure.
But the home side were dominant and their fans were disappointed not to see their team in front after 45 minutes - so they would have been pleased with their second-half response.
Once again Williams was found at the back post when a Neil Ardley cross was flicked on by Braniff on 47 minutes, but substitute Marc Tierney came across to bravely block the shot.
Although Latics striker Paul Warne will be kicking himself for missing a point-blank header from a Paul Edwards cross on 54 minutes, Millwall were throwing men forward.
And they should have had a penalty when Maurice Ross was tugged back in the box by Stefan Stam after a strong run two minutes later.
To Oldham's credit they realised the best form of defence was to attack themselves and they would have gone ahead against the run of play on just after the hour mark had Derek McInnes not blocked a Richard Wellens shot on the line.
But they could not sustain their pressure for long enough, and the introduction of Hubertz for Braniff up front on 71 minutes led to the winner eight minutes later.
Williams forced a diving stop out of Howarth, but the summer signing from the Danish club Aalborg was on hand to tap in for his first Millwall goal.