Byron Webster headed in the opening goal for his fifth of the season, before Oldham's Jonathan Forte was denied by Millwall's Jordan Archer.
Shane Ferguson made it 2-0 when he finished from close range following a flick from Aiden O'Brien.
Webster completed the scoring early in the second half, heading in from Steve Morison's cross.
The winning margin could have been bigger, with an audacious Morison lob from halfway floating inches over, before Joe Martin's free-kick from 25 yards hit the bar.
Millwall sit third in the table but cannot catch second-placed Burton, while Oldham are 17th and already assured of their place in League One next season.
Millwall guaranteed themselves a place in the League One play-offs after comfortably seeing off Oldham.