After a rather chaotic start with Millwall, in bright orange, causing plenty of problems inside the opening 60 seconds as Posh failed to clear their lines, however the visitors failed to capitalise.
Lee Frecklington saw a weak effort saved by Maik Taylor at the other end and then Paul Taylor's cross was just behind George Boyd who couldn't adjust his body to force the ball goal-wards.
The deadlock was broken on 12 minutes and it was a stunning finish from George BOYD who collected a Taylor pass and rifled a left-foot shot past Taylor and into the back of the net.
Andy Keogh fired wide from 20-yards after capitalising on a loose ball as Millwall tried to get a foot hold in proceedings. Josh Wright, who was on trial for Posh last summer, fired over with a dipping volley on 20 minutes.
Abdou fired over the upright on 27 minutes as the visitors began to find a few gaps in the Posh back-line. Henderson flighted a free-kick inches past the far post on the half hour mark after Zakuani had felled Wright 25-yards from goal.
A clever pass from Newell picked out Tomlin on 41 minutes, but after cutting inside, his right-foot curler cleared the crossbar. Moments later and the visitors were level as a cross to the back post was not dealt with and Scott MALONE side-footed home from close-range.
Posh made a double change at the break with Grant McCann and Emile Sinclair introduced in place of Paul Taylor and Joe Newell. Olejnik made a fine double stop to deny Henderson and then Lowry as Posh struggled to clear.
Substitute Grant McCann saw a fierce free-kick plucked out of the air by the experienced Taylor by his near post on 52 minutes.
James Henry nearly caught out Olejnik at his near post moments later, but the ball clattered into angle of bar and post. Olejnik then denied the pacy Keogh with his legs as the visitors continued to dominate.
On 62 minutes, Alcock tested Taylor with a low left-footed drive after patient football from the boy's in blue, for the first time in this second period.
Millwall got the goal their play deserved on 64 minutes as a Sinclair lost the ball and the Lions counter attacked at pace and to devastating effect as the ball was fed to HENDERSON who drilled the ball low past Olejnik and into the corner.
Tomlin fired low and wide of the near post on 78 minutes as frustration began to grow as Posh were struggling to create anything of any real note in front of goal. Henry struck the bar again with a fine effort from distance moments later
Final Score: Posh 2-1 Millwall
Posh: Olejnik, Brisley, Alcock, Nthle, Zakuani, Frecklington (sub Swanson 69min), Bostwick, Newell (sub McCann 46min), Boyd, Tomlin, Taylor (sub Sinclair 46min). Unused subs: Day, Little, Knight-Percival, Clarke-Harris.
Millwall: Taylor, Dunne, Wright, Trotter, Henderson, Lowry, Henry (sub Batt 82min), Keogh, Abdou, Osborne, Malone. Unused subs: Forde, Shittu, Racon, Marquis, Batt, Feeney, Taylor.
Attendance: 6,188 (596 Millwall fans)