Brazilian forward Guly Do Prado grabbed the only goal against Millwall to leave Southampton top of the Championship.
Saints threatened from the off before scoring in the 18th minute when Jack Cork threaded the ball to Guly - a signing from Fiorentina last year - who coolly curled it past Steve Mildenhall.
The Lions should have levelled but a John Marquis header flew wide.
Nigel Adkins' bouyant side hung on to start a campaign with four wins for the first time in the club's history.
Millwall's first defeat of the season came as Southampton kept up last term's promotion form, having now won 10 straight matches and 11 on the bounce at home.
Saints, who have now hit 10 goals in their first four matches, went straight on the attack and David Connolly swept wide from Adam Lallana's corner in the second minute.
Hameur Bouazza fired Millwall's first opportunity wide, before Guly duly made them pay.
Marquis sent a long-range effort straight at Saints goalkeeper Kelvin Davis while Tamika Mkandawire volleyed high and wide as the hosts weathered a mild Millwall storm until half-time.
Southampton started the second half with Jose Fonte and substitute Morgan Schneiderlin going close, but Millwall always looked a threat on the break as Josh McQuoid fired wide from 20 yards before Bouazza sent a shot fizzing narrowly the wrong side of the post.
The hosts then Saints had two lucky escapes on the hour mark when full-back Frazer Richardson blocked Mkandawire's close-range effort before Northern Ireland striker McQuoid's shot was kept out by Davis at point-blank range.
England Under-21 midfielder Lallana got a brief glimpse of goal for Saints but Jimmy Abdou managed to get a timely block in, while Bouazza squandered a late shooting opportunity for the visitors.