Massimo Luongo scored Millwall's opening goal
Goals in either half from Massimo Luongo and Kamarl Grant took Millwall past Coventry and into the third round of the Carabao Cup.
Luongo opened the scoring when Coventry failed to clear a corner and it fell for the Australian to turn and shoot into the bottom corner.
Another corner saw Grant ensure victory in the final quarter with a powerful header from an inswinging delivery.
Coventry were given a late hope by Haji Wright's penalty a minute from time, but Millwall saw out four minutes of stoppage time to progress.
Both sides made eight changes from Saturday's Championship matches and it was the hosts who had much the better of the first half.
They went ahead when a corner from the right was swung to the top of the area and was forced back towards goal and into the path of Luongo, whose right-footed shot found the bottom-left corner.
Coventry made changes after the break and improved, with Miguel Angel Brau's cross from the left headed towards the bottom-right corner by Kaine Kesler-Hayden, forcing keeper Max Cromcombe into a smart diving save.
But a series of corners eventually led to the second goal for the home side as Grant's perfectly-timed run met the cross from the left and he headed low past Ben Wilson in the Sky Blues goal.
The visitors rallied and Jack Rudoni's low drive was well parried away by Cromcombe before he got down quickly to save with his legs from Wright.
It was Wright who was brought down for the penalty that gave Coventry a lifeline.
And in the third minute of stoppage time, Millwall could not clear a cross from the right and it fell for Brau on his left foot but he blasted over the bar.
Millwall into third round of the Carabao Cup
Lampard post-Millwall defeat
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