Lee Gregory, Aiden O'Brien and Byron Webster scored the goals for Millwall as Latics fell to defeat.
Manager Steve Robinson named 10 debutants in his first starting 11 with Brian Wilson the only player to keep his place in the side from last season.
Millwall dominated the opening proceedings with Connor Ripley forced into early action, beating away a Steve Morison cross into the box.
Gregory fired over the crossbar minutes later whilst Latics defended well from a David Worrall free kick into the box.
Latics were forced into an early change after Jamie Reckord picked up an injury and was replaced by Josh Law.
The Lions took the lead on 13 minutes from the penalty spot as Cameron Burgess was adjudged to have fouled Ben Thompson.
Gregory stepped up and sent Ripley the wrong way to give Millwall the early advantage.
Burgess almost made up for his foul on 16 minutes as Ollie Banks' free kick was whipped towards the defender but goalkeeper Jordan Archer held well.
An injury to Banks allowed the players to take in drinks and regroup.
The midfielder was fine to continue and Latics did start to get a foothold in the game.
Robinson's men were good in possession but the ball just would not fall for them in front of goal.
Just after the half hour mark, O'Brien struck over and two minutes later, Morison attempted to find Ripley off his line but the ball went harmlessly over the crossbar.
Minutes before the end of the half, Latics almost got back level on two occasions.
After Lee Erwin was fouled 25 yards from goal, Law whipped the ball over the defence but inches wide of the post.
Erwin then took aim from 30 yards but his volley was saved well by Archer.
Deep into first half injury time, Millwall extended their lead after Latics did not deal with a corner into the box and O'Brien converted from close range.
Latics needed to regroup after the break but got off to the worst possible start in the second half, conceding a third.
Worrall's corner from the right was not defended by Latics and Webster converted at the back post to give Latics a mountain to climb.
Athletic set about reducing the arrears well and almost pulled a goal back through Paul Green.
The midfielder met a long ball into the box from Ryan Flynn but he could not control properly and the chance was lost.
Banks' deliveries from set pieces were causing a problem for Millwall all afternoon but it would not fall for Latics in the penalty box.
Erwin was replaced by Darius Osei on the hour mark whilst two minutes later, Banks was issued with a yellow card after a late tackle on Webster.
Burgess rose highest from Banks' corner into the box on 67 minutes but his header was off target, before the midfielder was replaced by Marc Klok.
Klok made an immediate impact on the game as he took on his defender and won a free kick for Latics.
With only 10 minutes remaining, Osei received the ball in the box, used his strength well but struck off target as Latics looked for a way back into the game.
A minute later, Klok was fouled on the edge of the box, picked himself up but curled his free kick past the post.
Millwall dominated possession towards the end of the game, keeping the ball well and it would be them that came away with the 3-0 victory.
Millwall: Archer, Craig, Williams, Worrall, Thompson, Gregory (Martin 46'), Romeo, Webster, Ferguson, Morison, O'Brien (Onyedinma 71').
Subs not used: King, Martin, Wylde, Nelson, Abdou, Philpot.
Oldham Athletic: Ripley, Wilson, Burgess, Clarke, Reckord (Law 11'), Fane, Banks (Klok 68'), Green, Flynn, Erwin (Osei 59'), Mckay.
Subs not used: Kettings, Croft, Cassidy, Edmundson.
Goals: Millwall (Gregory 13', O'Brien 45+3', Webster 46') 3-0 Oldham Athletic
Attendance: 9,787 (312 visiting supporters)