The two sides met in the second round of this competition last season, with Millwall winning 3-1 at The Den.
Match preview
Cambridge will hope that home advantage and another season's worth of experience competing in League One will prove to be the difference at Abbey Stadium on Tuesday.
Mark Bonner's side have come an awful long way since the aforementioned defeat to the Lions last campaign, defying pre-season expectations to finish 14th in the third tier of English football.
That represented the Amber Army's highest league finish since the 1993-94 campaign, and if their 1-0 victory over many people's fancy for promotion Milton Keynes Dons on Saturday is anything to go by, they have no plans of stopping there.
Harvey Knibbs's 17th-minute strike proved enough to separate the two sides on the day, with Cambridge's stubborn rearguard preventing the visitors from even having a shot on target across 90 minutes.
Bonner and his side do have recent experience of knocking out higher-ranked clubs than them out of the domestic cups, having defeated Premier League outfit Newcastle United in the third round of the FA Cup last season, as well as Championship side Birmingham City at this stage of the EFL Cup two seasons ago.
Millwall may prove a particularly tough nut to crack, though, especially after their impressive opening day 2-0 win against Stoke City on Saturday.
Debutant Charlie Cresswell, who is on loan from Leeds United for the season, had a match to remember as the defender sensationally scored either side of half-time to get his new side up and running for the season with a win.
While promotion to the Premier League for the first time in the club's history will be Gary Rowett's priority this season, making an impact in the EFL Cup would be a nice bonus for sure.
Indeed, the Lions have reached the quarter-finals or further of the FA Cup four times since the turn of the century, yet they last reached that stage of this competition in the 1994-95 season.
Rowett will be fully aware of the test awaiting his players on Tuesday, though, especially with him likely to freshen things up ahead of a tricky trip to Sheffield United at the weekend.
Cambridge United form (all competitions):
Millwall form (all competitions):
Team News
Cambridge will be without Fejiri Okenabirhie as the forward continues his recovery from an Achilles tendon rupture.
With his side travelling to Oxford United in League One on Saturday, Bonner may look to rest key players such as Joe Ironside, Sam Smith and Knibbs against Millwall.
That could mean starts for Saikou Janneh, Shilow Tracey and Jack Lankester in attack.
With no injury concerns restricting Millwall, Rowett is likely to make several changes, too.
New signing Zian Flemming appeared from the bench during the win over Stoke and should make his first competitive start for the club here.
Likewise, George Saville and Mason Bennett are likely to come into the first XI having gained crucial minutes in the second half on Saturday.
Cambridge United possible starting lineup:
Mannion; Williams, Taylor, Okedina, Haunstrup; Digby, O'Neil; Lankester, Tracey, Brophy; Janneh
Millwall possible starting lineup:
Long; Cresswell, Hutchinson, Wallace; McNamara, Evans, Saville, Mitchell; Flemming, Bennett; Burey
We say: Cambridge United 1-1 Millwall
With both managers likely to rotate as they prioritise their league campaigns, we expect to see a fairly even cup tie.
As such, it would be no surprise to see penalties decide the match.