Like the Millers this term, Neil Harris’s side arrived in the second tier a year ago fresh from victory at Wembley in the League One play-off final.
The Lions, again like Paul Warne’s United, were tipped to struggle in 2017-18 but, instead, a remarkable run in the second half of the season took the club to within touching distance of the play-offs.
Millwall eventually finished eighth after losing two of their final three games but Wood was hugely impressed with how well they adapted to life in the Championship.
Now, he wants Rotherham to adopt a similar approach as the south Yorkshire club looks to re-establish itself following that promotion.
“The Championship has nothing to be afraid of for us as a team,” the 33-year-old told The Yorkshire Post after a start that has yielded three points from four league outings.
“We have played some good teams so far but we have more than held our own, most of the time. In glimpses, we have looked really good. The problem has been we have been getting punished for bad mistakes. We have to cut them out.
“Belief is key. Millwall showed how far belief can take you last season. They were well organised and competed very well last time – and finished very high up.
“It will be difficult but there is nothing to fear in this league. We have to play at our tempo, and be aggressive. That has to be something we do every week.
“We constantly say that to each other. Believe. Don’t feel threatened by the bigger teams and go play our own game.
“I do feel the belief is coming in. A few lads hadn’t played at this level before and they have to make sure it doesn’t faze them. We need to be like Millwall last season.”
Rotherham have had a tough schedule on their return to the Championship after 12 months away.
Trips to Brentford and Leeds United, sitting fourth and top, respectively, in the table, have been interspersed with the visits of Ipswich Town and Hull City to the New York Stadium.
A last-gasp goal from Michael Smith was enough to beat the Tractor Boys but a similar late attacking onslaught against Hull failed to bring an equaliser as Warne’s men lost 3-2 in midweek.
The performance against the Tigers featured the good and bad of Rotherham’s season so far with sloppy mistakes costing them dear on a night when the visitors plainly could not handle the aerial threat posed by Smith, Wood et al.
“The gaffer was very frustrated with us after the Hull game,” added the Millers captain. “Rightly so. He knows how good we can be – and how good we are.
“We are just killing ourselves at the moment with what we are doing. He was very frustrated after Leeds as well.
“Everyone said we did well at Elland Road and gave credit to us. But we were so close to getting a draw or even a win. It is fine margins, which is how it is in this league – ruthless.”
Rotherham fans, of course, know all about how hard the Championship can be after that truly wretched 2016-17 campaign that ended with the club 28 points adrift of safety at the foot of the table.
Wood is one of a few survivors from that season to forget still at the New York and he insists things have changed markedly.
“The set-up is different and so is the mentality,” he added. “You can’t compare what happened a couple of seasons ago with this year.
“We have a very different atmosphere. The gaffer has worked hard to bring that in and it has worked. We are in a lot better shape than back then. I am certainly not worried about that happening again.”
Millwall head to south Yorkshire for the second time in four days, Harris’s men having lost at Sheffield Wednesday despite staging a late revival similar to the one Rotherham had managed 24 hours earlier against Hull.
Tom Bradshaw is in the squad after completing his switch from Barnsley for a game put back a day by south Yorkshire police to avoid a repeat of the violence that marred this fixture in 2015.
“We still feel confident and know we can more than compete in this league,” added Wood. “There are no issues with that.
“Millwall is another big game. We wanted three points against Hull but it didn’t happen. That has to be put to bed and make sure we get the win on Sunday.
“They are a good side. We just have to stop conceding poor goals. We have caused problems for two very good teams in our last two fixtures. But we must cut out the errors that cost us points against Leeds and Hull.”