Enzo Maresca's side netted three second-half goals to put them back in control after Tom Bradshaw had opened the scoring for the visitors.
Jannik Vestergaard's header levelled the scores after 48 minutes before Patson Daka scored for the second game running. The Zambia striker put the ball over the line from close range in the 52nd minute.
Ricardo Pereira scored Leicester's third from the edge of the penalty area with a shot that took a deflection off teammate Wilfred Ndidi and wrong-footed Millwall goalkeeper Matija Sarkic.
Millwall scored a second goal in stoppage time when substitute Kevin Nisbet forced the ball home from a corner.
Leicester lost top spot to Ipswich, who boast Socceroos Massimo Luongo and Cameron Burgess, on Tuesday night but they now lead them by a point.
Jamie Vardy missed the game with a knee injury and Kelechi Iheanacho was ill, so Daka got another chance after scoring against Plymouth on Saturday.
In Coventry, Coventry City drew 1-1 with Southampton who are trying to return to the Premier League.
Haji Wright scored for the hosts before Samuel Edozie rescued a point in the 67th minute for the Saints, who are two points behind third-placed Leeds United.
In other Wednesday matches, 10-man Plymouth battled for a point in a 0-0 draw with QPR at Loftus Road while Cardiff City went down 1-0 at home to Birmingham.
Norwich City beat Sheffield Wednesday 3-1 while Middlesbrough lost 2-1 at home to Hull City.
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