The Cobblers were 2-0 victors at this stage last year and came out firing on all cylinders. Millwall conceded four on Saturday at Oldham and their defence was still looking very shaky early on.
Northampton could have been in front in the second minute when Danny Jackman's cross shot found Ryan Gilligan unmarked but he could only hit the post from a narrow angle.
Town took the lead in the 16th minute when Liam Davis' cross from the left was cleverly dummied by Adebayo Akinfenwa and Jason Crowe fired home from close range.
Northampton dominated the first half but the Lions improved after the break and Lewis Grabban should have equalised but was denied by Mark Bunn from point-blank range.
Chris Hackett came agonisingly close to levelling when his 25-yard effort cannoned off the post with the keeper beaten. But despite constant pressure Millwall could not find a way through Northampton's defence.