The Welsh side, owned by Hollywood stars Ryan Reynolds and Rob Mac, had drawn with Cardiff and Watford before losing at home to Birmingham prior to this match.
But they bounced back in emphatic fashion in south London to kick-start their bid for promotion to the Premier League after narrowly missing out on the play-offs last term.
Millwall defender Zak Sturge deflected Issa Kabore's cross into his own net for a first-half own goal.
Wrexham striker Kieffer Moore lashed in the second goal from 20 yards soon after half-time, and Jacques Ekomie wrapped up the victory with a close-range finish.
After starting with two clean sheets in victories over Bristol City and Norwich, it is now eight goals conceded in two games for Millwall, who were thrashed 5-1 by Southampton on Saturday.
Millwall lost striker Josh Coburn and midfielder Casper De Norre to injuries during the Wrexham game as their fitness woes mounted just 24 hours after their Nigeria star Femi Azeez joined Brighton for £15 million.
Rumarn Burrell scored both QPR goals as they beat Cardiff 2-1 at Loftus Road to extend their impressive start to the season.
Perry Ng pulled a goal back for Cardiff but it was not enough to stop Julien Stephan's second-placed side from reaching 10 points in their opening four matches.
Ugo Raghouber's first goal for Burnley earned just their second point from their opening four league matches as they came from behind to draw 1-1 with Middlesbrough at Turf Moor.
The French midfielder, signed from Lille in July, steered in a 54th-minute equaliser from Zeki Amdouni's pass.
Aidan Morris had swept Middlesbrough into a 23rd-minute lead, scoring his first goal after more than two years at the club, with a stylish finish from 20 yards.
Relegated from the Premier League last season, Burnley are in the midst of a testing period which included a 4-1 loss at Norwich last Saturday and the sale of Dutch forward Zian Flemming to Ipswich on transfer deadline day.
Charlton lost their 100 per cent record but remain unbeaten after Tyreece Campbell's second-half strike secured a 1-1 draw at West Bromwich Albion.
Nathan Jones's side trailed to a thunderous Callum Styles strike just before the hour mark, before Campbell fired home from close-range after 69 minutes.
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