That encounter will be the first time the two sides have met in the League Cup but the 25th in all competitions, with Leicester losing out on the last occasion, in the Emirates FA Cup back in 2017.
Ahead of Wednesday's tie at The Den, LCFC.com provides the lowdown on the Lions...
The manager - A familiar face
Millwall manager Gary Rowett played for the Foxes between 2000 and 2002 predominantly as a defender. The Club paid a reported £3M fee to secure the services of the former Cambridge United and Everton man from Derby County and Rowett would go on to feature 57 times for City.
His playing career included spells at Charlton Athletic and Burton Albion before, in 2012, the Bromsgrove-born ex-defender agreed to become Albion's manager at Pirelli Stadium after serving as assistant since 2009. A League 2 play-off semi-final defeat to Bradford City followed in his first season.
Bradford were again the team to cut short their then best-ever showing in the League Cup in 2012/13 and Rowett declined an offer to manage Blackpool in the Championship in 2014. A month later, though, he was tempted to St. Andrew's Stadium by Birmingham City.
Rowett guided Birmingham from 21st in the second tier to 10th at the end of his first season but departed the Blues in December 2016 - to be replaced by Gianfranco Zola - despite them being firmly in play-off contention. The following March, he headed to Pride Park as Derby County's new manager.
After finishing the 2016/17 campaign in ninth, experienced figures such as Tom Huddlestone and Curtis Davies were signed by the Rams and they helped them climb to second in the Championship over the New Year, with Rowett picking up Manager of the Month prizes both in October and December.
Two wins in 13 matches, however, saw Derby slide in the standings, but they did reach the play-offs, eventually losing in the semi-finals to Fulham. After initially rejecting an approach from Stoke City, Rowett headed to bet365 Stadium in the summer.
The newly-relegated Potters struggled to acclimatise to the Championship and their manager left the club in January 2019. It wouldn't be too long before Rowett was back in management though, taking up the role at Millwall in October 2019, where he has guided them to eighth and 11th finishes.
The squad - Looking upwards
Following last season's 11th-placed finish in the Championship, Lions supporters will be hoping Gary Rowett can help them continue to be a competitive presence in the second tier and even look upwards towards the play-off berths in the near future.
Those endeavours will be helped by the goalscoring feats of midfielder Jed Wallace, who completed the 2020/21 campaign as the club's top goalscorer with 11 strikes to his name. Scott Malone and Mason Bennett also found the net on six occasions for the capital club last term.
The Millwall squad was boosted by the arrivals of George Long (Hull City), Scott Malone (Derby County) and George Saville (Middlesbrough) over the summer, while loan signings included Daniel Ballard (Arsenal), Sheyi Ojo (Liverpool) and experienced forward Benik Afobe (Stoke City).
Gary Rowett's men have tasted victory just once in the Championship, with goals from Wallace and Jake Cooper securing a 2-1 home win over Blackpool in late August. They have also drawn their last three league matches against West Bromwich Albion (A), Swansea City (A) and Coventry City (H).
They currently sit 18th in the Championship standings. More success has come their way in the Carabao Cup, starting out with a 2-1 triumph over Portsmouth at The Den, which was followed up by a 3-1 success over Cambridge United, also at home, on 24 August.
The honours list - Divisional titles & play-off successes
In 1988, Millwall were promoted to the top flight for the first time in their history as they ended an excellent campaign as Second Division champions, beating Aston Villa to the title by four points under the management of John Docherty. They'd stay up, too, for one season in the First Division.
The Lions are three-time semi-finalists in the Second Division play-offs and three-time winners of the Third Division, most recently in 2001, as ex-Leicester manager Mark McGhee ended the season in charge.
More recently, the London club have won the Third Division (now called League 1) play-offs twice, in 2010 and 2017, while back in 1962, they lifted the Fourth Division title too. In 2004, wins over Walsall, Telford United, Burnley, Tranmere Rovers and Sunderland sent the Lions to the final of the FA Cup.
They were beaten 3-0 by Manchester United at Millennium Stadium in Cardiff, as Cristiano Ronaldo struck alongside a brace from Ruud Van Nistelrooy for Sir Alex Ferguson's Red Devils. That did qualify Millwall for the UEFA Cup preliminary rounds, however, facing Hungarian side Ferencvárosi.
Despite being in the second tier, there was hope for Millwall when Dennis Wise became as the club's first-ever goalscorer in major European competition as the two sides played out a 1-1 draw in the first leg at The Den. A 3-1 defeat at Stadion Albert Flórián ultimately cut their UEFA Cup journey short.
Previous encounters - League doubles and cup upsets
While Leicester have not yet met Millwall in the League Cup, there have been plenty of past encounters across the Football League and in the FA Cup. However, the Foxes have only ever completed one league double over the Lions, during the Club's Championship-winning season in 2013/14.
Following a 3-0 triumph at King Power Stadium in November - with Jamie Vardy netting a brace after Lloyd Dyer's opener - Nigel Pearson's men headed to The Den in January. Anthony Knockaert, David Nugent and Jeff Schlupp struck in a 3-1 victory, with Richard Chaplow scoring for the Lions.
Other memorable results against Millwall include a 4-1 win in December 2002 as former Fox Steve Claridge struck for the visitors on Filbert Way inside 60 seconds, but James Scowcroft's double and efforts from Matt Elliott and Paul Dickov secured the three points.
Lloyd Dyer, Yakubu and Sol Bamba (2) also inflicted a 4-2 beating on the London club in January 2011, despite efforts from James Henry and Jack Smith in Leicester. However, Millwall have often proved to be a thorn in City's side, winning eight of the 17 clashes in the 21st century.
The last of those was particularly memorable for the Lions as Steve Cummings struck in the 90th minute at The Den for 10-man Millwall against reigning Premier League champions Leicester in the FA Cup back in February 2017. The Foxes will be hoping for a better result on Wednesday evening.