Lee Gregory put Millwall ahead after 17 minutes before Diogo Jota equalised in first-half stoppage time and Romain Saiss's long-range strike gave Wolves the lead.
Millwall's Jake Cooper equalised with a close-range header after 72 minutes.
"It's not an indifferent result, 2-2 against Millwall away from home. I knew that Millwall would be like they were," Wolves manager Nuno Espirito Santo said.
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"It's a tough environment to play in. We showed a lot of character and we can be proud of ourselves."
Cardiff City missed the chance to narrow the gap on Wolves as they lost 4-2 at home to Fulham.
Bristol City beat Reading 2-0 to move above Cardiff into second place in the standings on goal difference.
(Reporting by Ed Osmond, editing by Pritha Sarkar)
