Tony Philliskirk's side fell to a 3-0 defeat in their opening Professional Development League fixture on a wet and windy morning at the Barnfield Training Centre.
The Clarets got off to the worst possible start, as Millwall were awarded a spot-kick just four minutes into the match.
Lions forward Sean O'Brien stepped up and slammed the balll home from the spot to give the London side the lead, as the heavens opened up at Burnley's training base.
And despite Philliskirk's side best efforts at pulling the scores level, it was the visitors that struck again.
This time Abdul Abdulmalik curled home a free-kick from just outside the area, just five minutes before the break.
The Clarets tried to get going early on in the second half, however, it was the away side who again snatched another goal in the adverse conditions.
O'Brien on the score-sheet for the second time of the afternoon, after slotting home from close range past Harry Allen.
Although Burnley tried their best to get back into the game, the Lions kept the Clarets at bay to take all three points back to London.
The youth team are next in action on Saturday 17th August, where they face Bristol City away.
BURNLEY: Allen, Patterson, Chima, Conley, Rain, Fenlon, Tucker, Woods, George, Major, McGlynn.
Subs: Brennan, Armstrong, Connolly, Rooney