The Lions started the game brightly enough with Noel Whelan and Neil Harris causing the opposition all kinds of problems while on-loan signing Juan was proving to be a menance down the left wing. But try as they might, Millwall just couldn't find a breakthrough.
Andy Roberts went close when he hit the post mid-way through the first half and Harris had a couple of good attempts on target but the teams went into the interval level.
Kevin Braniff replaced Noel Whelan at halftime but the Lions still couldn't find a way past Oxford's defence. Indeed it was Braniff who inadvertantly created Millwall's best chance when his thundering shot cannoned off Woodman in the United goal and into the path of Juan. But the speed of the rebound caught the Brazilian by surprise and with the goal at his mercy, he somehow managed to put the ball over the bar.
Oxford took the lead on 59 minutes through Steve Basham. His fierce drive was saved by Tony Warner but the ball spun up and over the keeper. But despite being in total control up to that point, Millwall just did not have an answer.
With manager Mark McGhee electing to have three defenders on the subs bench, the home side had very few options to change things and seemed to go to pieces under the pressure.
For the last twenty minutes The Lions struggled to string passes together and gave away the ball too easily to mount any kind of attack. Tim Cahill came close to levelling the scores when his shot took a wicked deflection but Woodman saved well.
In sheer desperation, McGhee threw on defender Mark Phillips to play up front with Harris but the gamble didn't pay off and Oxford - who were very poor on the night themselves - were able to deal with what little threat there was.
And so the Lions went out to lower league opposition for the second season running with a pitiful display which does not auger well for the rest of the season.
Millwall: Warner, Lawrence, Craig (Dunne), Cahill, Nethercott, Ward, Juan, Roberts, Harris, Whelan (Braniff), Hearn (Phillips) Subs not used: Gueret, Ryan.