All you need to know about Thursday night's game
The Lions have played at the national stadium three times since 2009, first losing 3-2 in the League One Play-Off Final to Scunthorpe, then recording a memorable 1-0 win over Swindon 12 months later to secure promotion to the Championship. In 2013 Millwall met Wigan in an FA Cup Semi Final, also at the national stadium.
Oxford, themselves Milk Cup winners at Wembley in 1986, are on a phenomenal run of form currently, with just one defeat in their last 16 matches.
Michael Appleton's side are third in League Two, four points behind leaders Plymouth Argyle, but with a game in hand. Confidence in sky high in the U's camp following their sensational FA Cup giant-killing, a 3-2 victory over Premier League outfit Swansea City last Sunday, although The Lions are in upbeat mood too having secured a late winner at Oldham last Saturday.
What the managers say
"Peterborough at home gave us our first home victory of the season and the importance of the games have just sort of kicked on from there.
"This is no different, we are playing an extremely good Oxford side with excellent individual players and we have to be mindful of that. It's going to be very competitive, very close over the two legs and we have to remember that it is 180 minutes of football in this tie.
"The boys are looking forward to this game, we all have been since we won at Southend in the last round, and come Thursday night we are expecting a really good Cup-tie and a cracking atmosphere at The Den." Hear more from Chopper here.
"We will be more than ready to go again, there's no doubt about it. The game in itself – it's a first leg of an opportunity to go and play at Wembley. The added value of it being on TV as well gives it a bit of extra spice.
"The players are full of confidence at the minute, walking ten-feet tall, and rightly so. It's a bonus that the first game is at Millwall because obviously we will then be at home and know what we have to do.
Wallace, who had a hand in Lee Gregory's opening goal, could keep his place in a team unlikely to show many changes to the side that started against The Latics.
Fellow wide man Shane Ferguson will also be hoping to feature, having extended his loan spell from Newcastle United by a further couple of weeks on Tuesday.
Carlos Edwards (hamstring) is ruled out whilst Tony Craig remains a long-term absentee.
Oxford United manager Michael Appleton has played his selection cards very close to his chest, hinting that he has a nucleus of 'eight or nine' players who featured in Sunday's FA Cup victory over Swansea City who will play against The Lions with the remaining places possibly open for change.
Basham let fly with a low drive that keeper Tony Warner got a hand to, only for the ball to loop up over his head and into the net.
It was a frustrating night for The Lions, who were missing the bite of Dennis Wise in midfield and flair of winger Paul Ifill, both of whom were ruled out through injury.
Oxford United: Woodman, McNiven, Crosby, Robinson, Bound, Ashton, Townsley, Whitehead, Brown, Wandless, Basham (Oldfield, 87mins). Subs not used: Lovegrove, Hackett, Rawle, Omoyinmi.
This is the first meeting between the two sides since the 2003/4 season, and while Oxford may have run out 1-0 victors in the Carling Cup tie at The Den in August 2003, The Lions saved their best Cup form for the FA Cup, and went on to reach the final in May 2004 where they faced Manchester United at the Millennium Stadium.
Sky Bet have some great odds for first and last goalscorers such as Lee Gregory 11/2, Steve Morison 11/2, Jed Wallace 17/2, Mark Beevers 16/1 and Aiden O'Brien 13/2.
If you fancy any of the above players to score at any time their odds are: Gregory and Morison 15/8 each, Wallace 11/4, Beevers 5/1 and O'Brien 2/1.
For a comprehensive list of odds on the game visit Sky Bet.