The Swindon-born shotstopper, who made nine appearances for the Iron in his stay at Glanford Park, becomes the club's third loan signing of the day after Tom Hitchcock and Colchester midfielder John-Joe O'Toole also joined.
Mildenhall, 33, started his career at Swindon and has since played for the likes of Notts County, Oldham, Yeovil and Southend.
Rovers manager John Ward told the club's official website: "We are delighted to have a goalkeeper with Steve's experience on board.
"Given our current league position, I felt that we needed some experience in that position. I know Steve and I am grateful to his manager at Millwall, Kenny Jackett, for allowing him to join us."
The club confirmed that they hope to extend Mildenhall's emergency loan until the end of the season early in the new year.