A double strike from Graeme Carrick and one each for Mitchell Cole and Greg Pearson secured victory for Tony Carr's side, who were missing senior players James Allen (illness) and Darryl McMahon (suspended).
In a roller-coaster encounter in south London, the under-19s were 1-0 up, 2-1 down at half-time, 3-2 up early in the second half and pegged back to 3-3 before snatching a late winner.
Mitchell Cole opened the scoring in the 17th minute when he finished off a good move down the right by slotting a low shot past the Millwall keeper, but the hosts equalised in controversial fashion less than 10 minutes later.
Hammers keeper Glenn Jackson was impeded as he attempted to collect a high ball, but the referee ignored appeals for a foul and, to make matters worse, then awarded a goal despite the ball appearing to be cleared before it had crossed the line.
Millwall then took the lead just minutes before the break to leave the visitors walking off at half-time wondering how they were losing after spurning several other good opportunities.
However, whatever Tony Carr said during the interval certainly triggered the right response, as Hammers levelled things up moments after the restart. Cole skipped down the left and sent over a deep cross that Carrick controlled at the far post, before cleverly sidestepping a defender and firing into the roof of the net to make it 2-2.
On 67 minutes, Carrick grabbed his second to put the Hammers in front again. Ayo Akinsete's corner dropped to the young Geordie, who bundled the ball in from close range.
The scoring wasn't over, though. A lapse of concentration soon after allowed Millwall to grab another equaliser and it was the Lions looking stronger as the game entered the final 10 minutes.
However, with their tails up, the hosts were caught on the break in the 82nd minute, as a sweeping counter-attack involving Carrick, Cole and Mehmet saw the ball fed through for Pearson, whose first touch took him away from his marker and gave him the space to fire home a low shot from 20 yards out.
That was enough to seal a second successive victory for the Hammers and leave Tony Carr satisfied with the result - even if the performance did leave him with a few
"I'm not going to criticise us defensively, because we have been magnificent all season and had only conceded five goals in the first 11 games. Millwall put us under a lot of pressure and have a very determined young side.
"We felt their first goal was very harsh, but we showed good character to bounce back and take the initiative again. At 3-3 it could have gone either way, but we scored an excellent fourth goal on the break and overall I thought we deserved to win the game."
Team: Jackson, McClenahan, Tattam, Ferdinand, Ward, Lumsden, Akinsete, Carrick, Mehmet, Pearson, Cole. Subs unused: Reed, Fletcher, Khan.
Meanwhile, goals from Sam Wright and David Shaw sadly weren't enough for the under-17s, who were left stunned by Millwall's last minute equaliser at Little Heath.
Hammers took the lead on 30 minutes, when a fine run from Marce Collington set up a simple chance for defender Sam Wright, who scored his first goal of the season.
After holding on to their lead comfortably for most of the second half, the hosts were heading for a deserved victory but, with just 15 minutes remaining, Millwall were gifted an equaliser when goalkeeper Nicky Morgan dropped a cross, allowing their striker an easy tap-in.
Hammers fought back, though, and scored what looked to be the winner in the 85th minute when substitute David Shaw stole in at the far post to volley home.
However, in the dying moments, an excellent turn and shot into the top corner denied us maximum points and left Kevin Keen cursing his team's misfortune.
"I'm pleased with the performance, but very disappointed with the result," said Kevin. "We had two or three good opportunities in the first half and, had we taken them, it might have been a different game.
"As it was, we allowed them back into it twice, when we really should have made sure of a fourth successive victory."
Team: Morgan, Henry, Laws, Parrington, Blewitt, Wright, Tucker, Singh (Craig 75), Bunce (Shaw 75), Collington, O Allen (Lee 70). Subs unused: Behcet, Ketchell.