Croatian playmaker Ahmet Brkovic was on hand to stab home from two yards in the second minute of injury time to hand Lions boss Kenny Jackett his first point of the league campaign.
The tiring spectacle died an early death when Revell side-footed the visitors in front early on, accepting a gift from Lions keeper David Forde who spilled Dan Harding's deep cross into the path of the waiting winger.
In a first half of few chances, the Lions almost scrapped an equaliser just after half an hour when a neat free-kick routine found Zak Whitbread 12 yards out to glance a header over stranded Steve Mildenhall and just inches over the bar.
Brkovic should have levelled for the Lions on 54 minutes when he scuffed a left-foot effort wide of the mark after a blistering run down the left from Lewis Grabban.
Steve Tilson's Southend played some neat football in patches, but were by no means comfortable. They eased off the throttle as they continued to tire, soaking up wave after wave of Millwall's uninspiring attack that lacked the creativity needed to breach the tough and resolute Southend backline.
Lee Barnard's long-range effort on 87 minutes almost wrapped up the points for Southend but his effort whistled wide of Forde's right-hand upright.
As the fourth official announced five minutes of injury time, it appeared that even 65 minutes would not have been enough for the Lions to salvage something.
But after a monumental goalmouth scramble in injury time that saw Marc Laird's volley thunder off the bar and Mildenhall sensationally deny Paul Robinson's header, Brkovic was the happiest man in south London as he wheeled off towards the ecstatic Lions faithful.