United, who made six changes for the game, still put out a strong side against their Championship rivals and progressed thanks to first-half goals from Daniel Jebbison and Jayden Bogle.
Here’s how we rated the Blades’ stars in the capital ...
1. Jebbo back amongst the goals
Daniel Jebbison (right) of Sheffield United celebrates with team mates after scoring their sides first goal during the Emirates FA Cup Third Round match at Millwall: Warren Little/Getty Images Photo: Warren Little
2. Adam Davies 7
Was fairly untroubled in the first half but did make a superb save from Bradshaw when he looked for all the world like he would poke home and reduce the deficit. Solid under pressure from low crosses later in the game and kept a deserved clean sheet Photo: Paul Terry
3. Jayden Bogle 7.5
Looked desperate to impress and got on the scoresheet with a shot that saw a deflection wrongfoot Bialkowsi in the home goal. Could have had a second later in the game but couldn't get enough on his effort after the ball fell kindly to him in the box following a good cross from the right from sub Sharp Photo: Paul Terry
4. Chris Basham 7
A really commanding display on a rare start for the Blades veteran. Tidy on the ball but used every ounce of his experience when called upon, typified when he glided across and dispossessed Saville as Millwall looked to break quickly Photo: Warren Little