Mildenhall will stay with the Iron until December 8 and will go straight into the squad for Tuesday night's game at Walsall.
The keeper, 33, told the club's official website: "Last Tuesday we (Millwall) had a reserve game away at Cardiff and I had a message from (Millwall goalkeeping coach) Kevin Pressman asking if I'd be interested in a loan move to Scunthorpe.
"I'd been a bit frustrated at the start of the season not getting games at Millwall so as soon as the opportunity arose I jumped at it."
Mildenhall, who began his career at hometown club Swindon, joined Millwall in 2011 from Southend and his previous clubs also include Notts County, Oldham, Grimsby and Yeovil.
Meanwhile, former Rotherham, Preston and Sheffield Wednesday midfielder Chris Sedgwick has left the club. He made four appearances for the Iron after joining on a non-contract basis in September.