Millwall bowed out of the Carabao Cup at the Second Round stage on Tuesday night after Oxford United won 4-2 on penalty kicks at the Kassam Stadium following a 2-2 draw.
Jon Dadi Bodvarsson netted either side of half-time - and could have had a hat-trick - whilst Mark Sykes scored a deflected strike for the home side, before James Henry scored a last-gasp penalty to take the game to penalty kicks.
The U's then won the shootout 4-2 to advance to Round Three.
Millwall boss Neil Harris made eight changes for the visit to Oxfordshire, bringing in Billy Mitchell for his full debut, with Jayson Molumby and Tom Elliott also included in the starting XI.
The Lions controlled possession early on, but the first chance went the way of Oxford - the shot, however, was blazed well over the crossbar. Anthony Forde then tried his luck with 17 minutes played, but the ball was deflected and landed safely in the arms of Luke Steele.
Shaun Hutchinson then had a duo of efforts on goal as Millwall applied pressure, but was unsuccessful, with debutant Mitchell the next to try his luck shortly before the half-hour - the attempt, however, was high, wide and not so handsome.
The Lions didn't have long to wait for the opener, though - with 29 minutes played, Elliott's smart flick-on found Bodvarsson, who shook off his marker and guided a shot into the bottom corner of the net for his first goal in a Millwall shirt.
Shandon Baptiste then tested Steele as Oxford looked for the equaliser, but it was Millwall who could've netted the next goal of the evening as Aiden O'Brien chased down a bad backpass - he seeked out Molumby, but the Irishman failed to control the ball, instead allowing to creep through his legs and away to safety.
Seven minutes into the second-half, The Lions' lead was doubled, as Bodvarsson expertly guided Jason McCarthy's header into the net. It could've been three for Millwall and three for the Icelander just a minute later, but after being put through by O'Brien, his shot shaved the post and went wide.
Oxford's attempts to get back into the game were thwarted by a strong Millwall defence - Jake Cooper the next to block a shot, this time from Mark Sykes, before Bodvarsson had a further attempt to extend his goal tally, however, this time, he nodded over from close range after Shane Ferguson's cross was met by McCarthy at the back post.
Three minutes from time, Sykes' shot deflected up and over Steele, before ex-Lions Henry bagged a penalty deep into stoppage-time to take things to penalty kicks.
Oxford then converted four successful spot-kicks, whilst The Lions could only muster two through McCarthy and Williams.
Oxford United: Eastwood, Moore, Hall (Woodburn 67'), Long, Forde, Mousinho, Baptiste (Thorne 67'), Sykes, Mackie (Henry 77'), Hanson, Berkoe. Subs not used: Stevens, Cadden, Dickie, Goodrham.
Scorer: Sykes 87', Henry 90+4' pen
Penalties: Thorne (scored), Woodburn (scored), Henry (scored), Mousinho (scored)
Booking: Hanson, Berkoe, Mousinho, Sykes
Millwall: Steele, McCarthy, Hutchinson, Cooper, Williams, Ferguson, Molumby (M. Wallace 90'), Elliott (Thompson 63'), O'Brien, Bodvarsson, Mitchell. Subs not used: Bialkowski, Smith, Romeo, Mahoney, Leonard.
Scorer: Bodvarsson 29' 52'
Penalties: McCarthy (scored), Bodvarsson (missed), Ferguson (saved), Williams (scored(
Referee: Craig Hicks
Attendance: 3,692 (735)