Sir Alex Ferguson's men took the lead just before the break through Cristiano Ronaldo, with the Dutch master settling the tie after the interval.
Van Nistelrooy's first came from the penalty spot, after Ryan Giggs was felled in the area, before he added a second from close range.
"I'm very proud that I've won the FA Cup. It's one of the biggest cups in the world," said van Nistelrooy.
"I missed the last one I took," he added on his penalty. "I was convinced I wasn't going to miss this one."
Captain Roy Keane, who had been a doubt all week for the tie, believes Millwall deserve a lot of credit for their part in the game and not making it easy for United.
The Irishman has now won an amazing four FA Cup winner's medals from six FA Cup finals.
"We knew we were in for a hard game. Credit must got to Millwall," said Keane. "The goal before half time was the key.
"Millwall had nothing to lose. We were on for a hiding to nothing. We were just hoping the quality would tell in the end and it did."
Tim Howard began the contest although Ferguson allowed number two Roy Carroll to finish the game after running the American close for starting role.
"It was only right we both got on. It feels good," explained Howard. "It's nice to get a medal and a cup in my first year.
"We didn't have a lot to do, but what we did we did well," Howard added, while Carroll said "It's fantastic for me."
Gary Neville, who is certain to start in Euro 2004 for England, believes the side's professionalism was the key behind the Millennium Stadium triumph.
"The goal before half time settled us down. In the end it looked simple, but it wasn't," said Neville. "It was all about professionalism. We weren't outstanding."
