Having been appointed on Monday, the 37-year-old has got straight to work and kicks off his tenure with a game at the Championship's bottom club, Sheffield Wednesday, on Saturday.
It has been a "whirlwind week" for Edwards, who has made his first step into management after an impressive career as an assistant and youth coach, and he is well aware it will take time to transform Millwall's style of play.
Edwards wants to bring attractive football to The Den and his belief that he can was a key factor in Millwall hiring him.
"A big part of the interview task was, here is a sample of Millwall games, analyse them and tell us what you see," says Edwards.
"But not just what you see in terms of what was good and bad on that night, what would you do with it?
"At first I just set out to complete the task, but as I was doing it I found myself getting more and more into it.
"I have already seen glimpses in the first couple of days of training where I have got belief that a new way of working can bring the best out of a lot of the players."
Edwards always wanted to be a head coach, but he has been waiting for the right club. He believes Millwall is the ideal fit and it must have felt like fate when they came calling after what happened in the summer.
Edwards was out of work then and made a point of watching Championship football after spending years working in the Premier League and youth set-ups.
"I had a family commitment in the first weekend of the season," says Edwards. "But for the second weekend I thought, let me get to a game.
"I looked at the map, needed a London game, and funnily enough the first game this season I went to live was Millwall v Bristol City. So I started this season watching Millwall and from then I have watched a lot of Championship games."
Edwards admits it is a risk moving into management, especially in the cut-throat environment of the Championship, but one he had to take.
"I have always had a burning desire to be a head coach or manager," he says. "I had to have a go at it to see if I can do it, to see what it feels like.
"To make that step is a proud moment, but the added bonus is that I get the opportunity to do it at a big London club of this size."