Gary Alexander scored the only goal to give Millwall victory ending Leicester's unbeaten start this term.
Millwall took the lead when Kandol flicked on and Alexander lifted his shot over the advancing Martin.
The home side had a strong shout for a penalty turned down when Millwall's Paul Robinson pulled Steve Howard's shirt inside the box.
Leicester's Paul Dickov saw a shot go wide before Kandol was sent off late on for a tackle on Michael Morrison.
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Booked: Gradel, Tunchev.
Sent Off: Kandol (90).
Booked: Alexander, Abdou, Craig, Whitbread.
Goals: Alexander 20.
Att: 19,591
Ref: Pat Miller (Bedfordshire).
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