The Lions chief took the honours after guiding his side to a 100 per cent record of four wins from four league games during the month.
Jackett beat off competition from Gary McAllister of Leeds United, Scunthorpe United's Nigel Adkins and the Oldham Athletic manager John Sheridan to claim the award.
"This award means a lot to us after having such a promising start to the season," said Jackett.
"We wanted to prove to the players that they can be successful and win games - and also show that to the supporters.
"They have not had too much to cheer about recently. Over the past two seasons Millwall's first 10 games have not gone well and that's been tough on them.
"I want to say congratulations to all my staff who have helped me since the start of the season."
Bury's Alan Knill, a former Scunthorpe defender, has been named the League Two manager of the month for September.
He pipped Andy Scott of Brentford, Macclesfield boss Keith Alexander and Peter Taylor of Wycombe Wanderers to the monthly award after the Shakers moved to the top of the table on the back of an unbeaten September.
"We have made everything more competitive. Every training session counts and the players now know what I expect from them," he said.
Burnley boss Owen Coyle has been rewarded for guiding his side to an unbeaten month after being named the Championship manager of the month for September.