Neil Harris' side produced one of the stories of the previous round as they battered AFC Bournemouth on home turf, enjoying an emphatic 3-0 win against the Cherries.
Harris, a former Millwall striker, will be hoping for a repeat performance from his players when they line up against the Hornets, but the meeting with Walter Mazzarri's men represents a tough test for the team from the third tier of English football.
Watford are chalked up as Betfair Sportsbook's 6/4 (2.50) favourites to take their place in the fifth round of the competition at the first time of asking, while the Lions can be backed at 15/8 (2.88) with the same firm to repeat their third-round heroics and knock another Premier League team out of the FA Cup. Betfair Sportsbook go 21/10 (3.10) that a replay is required to separate the sides.
Millwall will come into this clash in confident mood, for they are unbeaten in seven matches, winning each of their last four fixtures on home soil; furthermore, Harris' side have scored more than two goals in six of their last eight wins and the Lions are available at a chunky 5/1 (6.0) to score more than twice against Watford. The same firm go 10/11 (1.91) that more than two goals are scored when these teams lock horns - a selection that would have landed in five of the last seven home matches that the Lions have played.
Watford have won just one of their last eight games - against Burton Albion in the previous round of this competition - and Mazzarri will be acutely aware of the importance of his team getting back to winning ways when they travel to take on the Lions. The Hornets' record on the road, though, offers little comfort, for Watford have been beaten in five of their last six matches away from Vicarage Road, failing to score in three of their last four away ties.
Given the importance of getting their campaign back on track, it would be no surprise to see Watford field a strong side for this Cup clash - and that spells trouble for Harris' Lions.
Whilst Millwall's win against AFC Bournemouth was hugely impressive, the Cherries made wholesale changes that day and the Hornets can be expected to name a significantly stronger - if not full-strength - side when they travel to take on the League One outfit.
Watford reached the semi-final stage of this competition last term and Mazzarri's men are good value at 6/4 (2.50) with Betfair Sportsbook to end Millwall's FA Cup adventure.