The Republic of Ireland international has signed a four-year contract at Ewood Park for an initial fee of £1.8million rising to £2.5million dependant on appearances and the teams performance.
"The fee which we initially agreed with Millwall hasn't changed," Rovers chief executive John Williams told the clubs official website.
"However, as a consequence of the recent sale of Damien Duff to Chelsea, we were able to accelerate the payments and conclude the deal. We are delighted that Steven has agreed to join us."