The 20-year-old winger scored a beautiful equaliser and brilliantly created the winner for Jean-Philippe Mateta after Benik Afobe had put the Championship side in front.
An aggressive encounter between the two south London rivals was matched in the stands - and numerous objects rained onto the pitch throughout.
A raucous atmosphere at The Den threatened to spill over when Olise was hit with a bottle in the second-half, although the Frenchman egged on the home fans to claim the last laugh.
Earlier, Palace goalkeeper Jack Butland gave the Millwall faithful something to cheer when he gifted Afobe the opener.
Butland was caught in possession on his goalline and talkSPORT commentator Matt Holland admitted there was nowhere to hide. Holland said: "He tries to dribble out and he can't do it.
"It's an absolute mess from Jack Butland. A real mess. He still can't believe it, he's shaking his head. It's awful goalkeeping."
An animated Patrick Vieira got the response he wanted from Palace, particularly Olise, who levelled things up immediately after half-time with a stunning left-footed curler.
Holland added: "That is a moment of real quality. They needed a fast start and they got one.
"Absolutely brilliant. He was their best player in the first half and most likely to do damage. It's absolutely top draw."
Then it was Olise's cross which gave Mateta the simplest task to give the Eagles bragging rights.
Holland continued: "Olise has been the outstanding player of the game. Gallagher, straight away, who did he celebrate with? Olise.
"It was on a plate for Mateta. All the work was Olise."
The Frenchman will grab most of the headlines, but the Lions' supporters will no doubt be scrutinised once again, particularly for the events which followed the Palace winner.
Speaking on commentary, Sam Matterface said: "What we do not need to see is things being thrown onto the pitch.
"There were several items thrown by Millwall supporters, tens of items, at the Palace players as they celebrated the goal.
"This is a great Cup tie, this is a great occasion. This kind of stuff doesn't help.
"It doesn't help the reputations of either supporters."