This was Watford’s first defeat at Vicarage Road since September and just their second at home in the Championship this season.
Millwall were the much better side in a goalless first half, with Alfie Doughty coming closest for the visitors when he smashed an effort just over the bar.
There was confusion among both sets of players and officials when a ballboy ran onto the pitch and prevented a wild Casper De Norre shot from going out for a throw in, with referee Ruebyn Ricardo eventually awarding a drop ball in the corner, which resulted in a Watford goal-kick.
It took until the seventh minute of first-half added time for Watford to register their first shot – a James Abankwah header that drifted just wide of Max Crocombe’s post.
The Hornets were much improved after the break, pressing higher up the pitch. But it was Millwall’s half-time substitute Macaulay Langstaff who should have made the breakthrough, heading over Azeez’s excellent cross from point-blank range.
The Watford defence somehow managed to scrape the ball away after Tristan Crama had got beyond goalkeeper Egil Selvik from a Millwall corner, before opposite number Crocombe made smart stops from Marc Bola and Tom Ince.
Millwall finally made the breakthrough on 69 minutes, with Crama flicking Doughty’s high cross down to Azeez, who slotted the ball along the turf and into the back of the net.
The second put the visitors in total control, as the Lions turned the ball over in midfield and Camiel Neghli played a pinpoint pass for Coburn to chase and finish.
The former Middlesbrough striker has now scored two in two since returning from a quad injury sustained in October and gives Millwall boss Neil a much needed boost to his frontline.