The promotion-chasing Lions took an early lead as Byron Webster headed past keeper Reice Charles-Cook from Shane Ferguson's corner,
However, Shaun Williams was sent off for Millwall after just 26 minutes when he appeared to headbutt Ruben Lameiras.
Coventry took advantage as John Fleck's 30-yard shot was followed up by Marcus Tudgay's toe-poke to grab victory.
With four matches remaining, Millwall remain fifth in the play-off places, three points clear of seventh-placed Barnsley.
Coventry, climb a place back up to 12th, eights points adrift of the play-off places, after only their third win in 17 matches.
Sky Blues boss Tony Mowbray told BBC Coventry & Warwickshire:
"On the balance of the play it was deserved. It's never easy to play against 10 men.
"But we saw it home. Now we have to see if we can finish the season strongly.
"It's important for the supporters of our club to see that we are fighting for every point."
Millwall manager Neil Harris told BBC Radio London:
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"The sending off was a big blow. Having just looked at it quickly, I've got no complaints.
"We looked really solid, really organised. I couldn't remember us giving too many chances away other than the opportunity just before half-time.
"I'm delighted with the players because the spirit they showed and the fight they showed to get a result was terrific with ten men."

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Sunday's 1-1 draw against Ross County, which took the Hoops nine points clear with four games left, saw anti-board protests and boos at the final whistle.
"They can say and do as they please because we have not been producing the right results as we should be.
"We know that and we have let ourselves down," Brown said.
Manager Ronny Deila's announcement that he will leave at the end of the season because of a lack of improvement in performances has cast a shadow over the remainder of the club's season.
But Celtic could effectively wrap up their fifth Premiership title in a row with victory against Hearts at Tynecastle on Saturday, given their vastly superior goal difference to second-placed Aberdeen, who they face the following weekend.
"We need to bounce back from this now," said Brown, in Dublin to promote Celtic's pre-season International Champions Cup match against Barcelona on 30 July.
"We need to start getting ourselves together. We need to go back to winning ways. We've got next season to look forward to.
"We are going for five in a row now and we want to continue it, we want to get six and seven.
"We believe we've got the players in that dressing room that can do that and we've just got to put a lot of faith and trust in ourselves and express a lot more than we have been doing in recent weeks.
"As everyone knows there's going to be a new manager but we're concentrating on the last three or four games of the season.
"For now Ronny is still our manager and now we need to try and win the league for him as soon as possible and give him something back."
Deila resigned days after the Hoops were beaten by Old Firm rivals Rangers on penalties in the Scottish Cup semi-finals.
Fans were also frustrated at the club's lack of Champions League progress under the Norwegian.
Former West Brom boss Steve Clarke has become the latest to declare his interest in the vacancy, although David Moyes remains the bookmakers' favourite.
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Zuniga can play in either full-back position and has 62 caps for his country.
The 30-year-old joined Napoli in 2009 from Siena, and played for four years under new Watford boss Walter Mazzarri.
He is the Premier League club's fourth summer signing, following centre-back Christian Kabasele, striker Jerome Sinclair and record buy Isaac Success.
Zuniga played four times for Colombia at the 2014 World Cup, and it was his challenge that caused Brazil forward Neymar to miss the 7-1 semi-final defeat by Germany.
The defender has appeared 125 times for Napoli during seven years at the Serie A club and spent a short spell on loan at Bologna at the start of 2016.
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Coventry overcame 10-man Millwall at the Ricoh Arena to secure their first victory in six League One matches.
[NEXT_CONCEPT]
Celtic captain Scott Brown says unhappy fans have every right to vent their feelings after a season in which the team have "let themselves down".
[NEXT_CONCEPT]
Watford have signed Colombia defender Juan Camilo Zuniga on a season-long loan from Italian side Napoli.