The 26-year-old has agreed a two-year deal with the Lions, with the option of a further 12 months.
Former Bury and Rotherham United wide man Worrall scored nine goals in 84 appearances during two years with the Shrimpers.
"David adds something different to the team and has good delivery," Millwall boss Neil Harris told the club website.
Worrall is the club's first signing since their play-off final defeat by Barnsley at Wembley.
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Millwall have signed David Worrall following the winger's departure from League One rivals Southend United.