The pressure was on after losing at relegation rivals Oxford, and it would have been easy to crumble after Luke Cundle’s opener at The Den.
But Rovers hit back through Mathias Jorgensen’s brace in the final 10 minutes, punishing the Lions after Zak Sturge’s red card.
“It’s been a challenging week,” O’Neill told BBC Radio Lancashire. “We knew coming into this week the significance of it with playing Portsmouth at home, Oxford away and then coming here which we knew would be a very difficult game.
“The early part of the week didn’t go as we planned, obviously, but the reaction was very good. Big commitment from the players, we kept them down between the games and I thought today the performance was excellent.
“When I looked back at the game on Wednesday night, I thought maybe I was a little bit harsh on them.
“We didn’t create an awful lot in the game but we weren’t as poor as maybe what I thought. We had a lot of possession, we just couldn’t turn it into something. In the Championship, if you go behind it’s difficult to play against teams.
“We learned that lesson, but we went behind here today and showed real character and quality to come back and win the game.”
Jorgensen grabbed the headlines with a brace, and all five of his goals since joining from Bodo/Glimt have come on the road.
“Two great goals for Matty,” the head coach added. “Pleased for him because he worked really hard in the game on Wednesday night without a lot of reward.
“I think he was a bit disappointed and his performance was good. He is a really open, honest lad which is refreshing. He was very vocal about how he felt he needed to contribute more to the team.
“Managing him and Yuki, the only two fit strikers we have at this minute in time, we can’t flog players like that and expect them to play three 90 minutes so it is a bit of a balancing act. But he came into the game at the right time and obviously two great finishes.”
There were some honest conversations after the defeat at the Kassam Stadium, which had left Rovers just above the drop zone.
“I think it is important that the players analyse themselves. It is not always healthy for the staff just to always be giving direction, feedback, criticism or however you want to put it,” O’Neill explained.
“We had a good meeting with the lads on Thursday and they were very honest with each other. They identified the areas they needed to do better, but most importantly to come here and be ready for what Millwall would bring.
“That was the biggest thing. Alex has built a really good, strong team here, physical presence, they really test you.
“We had to match that in the early parts of the game and I felt we did do that. I thought we played some excellent football as well, without maybe having the cutting edge. We probably could have been better in the final third.
“Then we went behind and the reaction we got was superb. We scored two very good goals and saw the game out. It is a massive three points.”