With his family based in Surrey,Shaw had said that he was looking for a club close to home and opted to join Nigel Spackman at the New Den.
Shaw, who played for Crystal Palace before joining City, said to Millwall's website: : "I'm very pleased to be back in London, but I've not come to Millwall just to see out the end of my career comfortably.I'm still thoroughly enjoying playing and I am aiming to help Millwall be successful."
Millwall have also signed Chris Day from Oldham. Day was on trial with City last pre-season and featured in the Ibiza tournament.