MILLWALL are out of the EFL Cup despite leading 2-0 in the 87th minute at The Kassam Stadium before Oxford scored two late goals and then won 4-2 on penalties.
Jason McCarthy and Shaun Williams were Millwall's only successes from the spot, with Jon Dadi Bodvarsson hitting the crossbar and Shane Ferguson seeing his effort saved by Simon Eastwood.
George Thorne, Ben Woodburn, James Henry and John Mousinho scored from 12 yards to send the hosts through with a penalty to spare.
Bodvarsson had scored his first goals for Millwall since his summer switch from Reading. He opened his Lions account in the 29th minute when he finished low at Eastwood's near post from Tom Elliott's assist.
The Iceland international made it 2-0 seven minutes after half-time with a brilliant header from McCarthy's cross and should have completed his hat-trick a minute later but his shot clipped the outside of the post.
Oxford pulled a goal back with three minutes left when Mark Sykes shot low past Luke Steele, and then equalised in the 94th minute through Henry's penalty. Oxford then completed their remarkable comeback in front of the home end.
Billy Mitchell made his full debut in midfield after coming on against Wigan on the final day of last season. Elliott started for the first time since March 9 at Bolton as Neil Harris made eight changes to the side that drew 1-1 at Middlesbrough on Saturday.
Harris set his side up in a 4-3-1-2 formation. Mitchell was on the right of the midfield three, with Jayson Molumby on the left and Williams anchoring. Aiden O'Brien played behind Elliott and Bodvarsson.
Millwall passed the ball in neat triangles in midfield in the opening quarter but they were most dangerous from set-pieces up to that point. Shaun Hutchinson was attracting plenty of deliveries, and he went close in the 22nd minute after Williams had played a short corner to Ferguson, but Eastwood saved low to his left.
Five minutes later Williams picked out Elliott's run behind the home defence. The striker had Ferguson for support and the left-back found Mitchell inside. Oxford's defence backed off to invite the shot, but Mitchell's effort from 25 yards went over.
Millwall didn't have long to wait for their opener, and it was the first time Elliott and Bodvarsson had combined. Elliott found his strike partner in the box with a headed flick-on, and Bodvarsson slotted home low past Eastwood.
Having saved Rob Hall's free-kick before Millwall took the lead, Luke Steele helped preserve it by diving low to his left to turn Shandon Baptiste's shot around the post.
Ferguson then fired a free-kick into the wall before Hall couldn't test Steele at the other end after he had been fouled 25 yards out, his effort going well over.
Oxford wanted a penalty just before half-time when Baptiste went down after appearing to have his shirt pulled by Hutchinson, but referee Craig Hicks infuriated the home fans by waving play-on and moments later he blew his whistle for the break.
Hall was inches wide with a low left-footed effort four minutes into the second half before O'Brien's shot from 10 yards was blocked by Jamie Hanson.
Bodvarsson then failed to match the quality of his headed finish when he hit the woodwork after O'Brien had played him through.
With 18 minutes left Bodvarsson had another chance to get his third, this one more difficult as he just failed to reach Cooper's deflected header back across goal.
Sykes' late shot deflected off Cooper past Steele to give the hosts hope, and Henry kept his cool against his former club to send the tie to penalties.
Oxford: 4-3-3: Eastwood: Long, Mousinho, Moore, Berkoe; Baptiste (Thorne, 67), Hanson, Sykes; Hall (Woodburn, 67), Mackie (Henry, 76), Forde.
Millwall: 4-3-1-2: Steele; McCarthy, Hutchinson, Cooper, Ferguson; Mitchell, Molumby (M Wallace, 90), Williams; O'Brien; Bodvarsson, Elliott (Thompson, 63).
Referee: Craig Hicks
Image: Millwall FC