The victory moved the Hornets up to fifth in the table and Mackay was understandably thrilled with their performance.
He said: "It's my best as a boss. To come down here and come away as a result and have it earned - scoring goals and creating extra chances - all credit to the lads. It's not an easy place to come the Den. Their goalkeeper pulled off some great saves.
"You have to match Millwall's work-rate and nullify their strengths. We went at them and applied ourselves from minute one. Invariably we did that.
"It's down to team spirit - we are a young squad and maybe that helps us. We have a sense of togetherness. Everyone looks at anomalies but we deserved it.
"It can be very tough at the Den but we scored early to keep them quiet.
"We have belief and ability. We have no egos. I know how tough this division can be."