The hosts have started poorly in the league, with just one win from eight games as they sit in 18th place with eight points.
Their two other wins this season have come in this competition, seeing off Portsmouth 2-1 in the first round and Cambridge United 3-1 in the second round to reach this stage.
Leicester have also endured a rocky start to their Premier League campaign, with two wins from five games leaving them in 12th spot.
This is the three-time Carabao Cup winners' entry point to the competition, due to European commitments.
Centre-back Shaun Hutchinson is expected to be involved in the game for Gary Rowett's men, after recovering from a thigh injury.
Danny McNamara, Benik Afobe and George Evans are all expected to miss the clash after only returning to training on Monday.
Sheyi Ojo will miss out after picking up an illness that ruled him out of his side's 1-1 draw with Coventry at the weekend.
For the visitors, Jonny Evans is a doubt for the encounter after going off in the Foxes 2-2 draw with Napoli last week due to his recurring foot injury.
Ayoze Perez is back in contention after completing the third of his three-match Premier League suspension against Brighton following his red card vs West Ham.
James Justin and Wesley Fofana remain long-term absentees.
Long; Ballard, Hutchinson, Pearce; Mahoney, Evans, Thompson, Mitchell; Bennett, Smith, Bodvarsson.
Leicester City (4-2-3-1)
Ward; Castagne, Amartey, Soyuncu, Thomas; Choudhury, Dewsbury-Hall; Albrighton, Iheanacho, Lookman; Daka.
Ones to watch
Standing at 6ft 6ins, Matt Smith has built a reputation as a fierce target man over his ten years in professional football. Into his third season at the Lions, the 32 year-old still has it all to give - and will be looking for yet another successful cup run-out after his goal and assist in the last round against Cambridge.
He will be sure to give Leicester's weakened defence a stern test under the floodlights at The Den, and show them what lower-league football is all about.
23 year-old Lookman is likely to be handed his first start for the Foxes in South London, incidentally not too far from where he was born and raised in Wandsworth. The winger joined on loan from RB Leipzig this summer, and will want to continue his growth after a decent loan spell at Fulham last season.
He has appeared three times off the bench this season, making a good impression as he played the whole second half last time out against Brighton. He is no stranger to Championship opposition, with his first season in professional football coming in the second tier with Charlton Athletic in 2015/16.
The last meeting between the two came in the FA Cup 5th round in February 2017, with Millwall running out 1-0 winners thanks to a 90th minute Shaun Cummings goal.
Fans proceeded to enter the pitch in jubilation as the then League One Lions toppled the then Premier League Champions.
Millwall have won five of the last seven games between the two.
This encounter will be the first time they have met in the League Cup in their history.
How to watch
The game kicks off at 19:45pm on Wednesday September 22.
It will not be shown on live TV. Highlights are available to watch on Carabao Cup on Quest at 10.30pm on Wednesday, on the Quest channel.