Making their first trip to their fierce local rivals for over a decade, Millwall had yet to notch up a win in nine previous visits.
But with just seven minutes on the clock, Cahill should have had the Lions roaring, however he drilled his close-range shot against the legs of the exposed David James.
On 25 minutes, however, Connolly looked as though he had taken the first steps towards making sure that history would repeat itself when he tenaciously raced on to Rob Lee's pass, skipped two challenges and coolly slotted his seventh goal of the season beyond Tony Warner from 12 yards.
And the Hammers' scorer was in the thick of it again on the stroke of half time, when he was involved in some argy-bargy with the Millwall defence that cost him a booking and a suspension as tempers threatened to soar on and off the pitch.
In stoppage time, Jermain Defoe rounded Warner and fired wide while seconds after the restart Matthew Etherington's angled 12-yarder flew back off a post.
In reply, Cahill forced James into a full-length save before substitute Neil Harris volleyed over and Paul Ifill rattled the bar with a screaming 20-yarder.
By now a Lions leveller was looming large on the horizon. Sure enough, on 73 minutes, Ifill's deep right-wing cross was met by Cahill, who beat James with a clinical far-post header.
Inspired by their equaliser, Millwall went in search of that elusive first ever East End win and with West Ham having well and truly lost their way, Ifill, Harris and Bob Peeters had chances to clinch it.
West Ham: James, Repka, Lee, Dailly, Connolly, Defoe, Etherington, Quinn, Horlock, Pearce, Mellor. Subs: Bywater, Ferdinand, Alexandersson, Garcia, Kilgallon.
Millwall: Warner, Cahill, Nethercott, Ifill, Livermore, Ward, Roberts, Wise, Dunne, Peeters, Craig. Subs: Gueret, Lawrence, Harris, Whelan, Hearn.
Referee: M Halsey (Lancashire)
Attendance: 31,626