Millwall lost 2-1 to Braga at Estádio da Nora on Tuesday evening.
The Portuguese giants took the lead early in the first-half before Aiden O'Brien equalised, but Braga won it late on with a well-worked second.
Summer signing Matt Smith - playing up front alongside O'Brien - had the game's first meaningful chance but his powerful header was cleared off the line as The Lions started well.
Just two minutes later Millwall threatened again, this time through Connor Mahoney, whose stinging strike was expertly tipped behind by Braga keeper Matheus.
But despite Neil Harris' side enjoying the better of the opening exchanges it was the Portuguese side who took the lead as Palhinha headed home from a corner after 18 minutes.
Braga then began to threaten with more regularity - Shane Ferguson heading behind for a corner in one moment of danger - before their keeper was forced off with an injury and replaced by Thiago Sa.
And inside 60 seconds of coming on he was having to pick the ball out of his net as O'Brien - 33 minutes in - slotted home from close range to equalise following a goalmouth scramble.
The start of the second-half was played at as competitive and frantic pace as the first, with plenty of quality on show from either side, and it was around the 60-minute mark when both managers began to make a raft of changes which included a debut for Jón Daði Böðvarsson.
Millwall were excellent in and out of possession at times but Braga regained their lead after 72 minutes when Andre Horta smashed the ball home from inside the box after a neat exchange of passes - a lead they held on to to secure victory.
Millwall: Fielding (Sandford, 77'), Hutchinson (Ransom, 77'), Cooper (Pearce, 69'), Williams (Skeffington, 77'), J.Wallace (Mitchell, 62'), Thompson (Burey, 77'), Smith (Böðvarsson, 62'), Ferguson (M.Wallace, 58'), Romeo (McNamara, 62'), O'Brien (Skalák, 58'), Mahoney (Onyedinma, 58')
Scorer: O'Brien 33'