The visitors held out for a 1-0 win courtesy of a 16th minute Jason Crowe opener.
The Cobblers were forced to hang on by the skin of their teeth as Kenny Jackett's Lions dominated for well over an hour after a bright start from the visitors.
Northampton came close twice early on - including Ryan Gilligan hitting the post inside a minute - but finally broke the deadlock when wing-back Crowe fired low and hard beyond David Forde after a neat cross from Leon Constantine was dummied by big Adebayo Akinfenwa.
Despite Northampton's early dominance through Leon Constantine's pace and Akinfenwa's power, it was the Lions that finished the first half far the superior.
Lewis Grabban fired either side of both posts with two well constructed chances after 34 minutes with the Lions taking over half an hour to get going.
Millwall switched to a 4-4-2 formation in the second half with the introduction of Ahmet Brkovic and Tresor Kandol making his home debut, but the Lions were unable to penetrate the resolute Northampton defence.
Grabban forced a top-drawer save from Mark Bunn on 52 minutes having crept away from Danny Jackman down the Northampton right.
The former Palace man continued to cause problems up until the final whistle having clipped the outside of the right-hand upright with a dipping 30-yard effort with 20 minutes to go.