Formalities of the 23-year-old's switch to south London will be completed on Friday and he could make his debut for the Lions when they host Derby County in the Sky Bet Championship on Saturday.
Waghorn will be ineligible for Millwall’s trip to King Power Stadium in the Sky Bet Championship on Saturday 30 November under the terms of his loan agreement, which also includes a recall option after 28 days.
The South Shields-born forward has featured twice as a substitute for the Foxes so far this term, coming off the bench in the 1-0 league victory over Derby and the 5-2 Capital One Cup win at Carlisle United last month.
A summer signing from Sunderland in August 2010 following a successful season on loan at King Power Stadium, Waghorn has made 114 appearances for the Foxes, scoring 20 goals.