Both teams have won just one game each this season and have also been knocked out of the EFL Cup in the opening round.
The Tuesday hosts drew their opener before suffering a disappointing 3-0 loss to Blackburn Rovers in their second match.
Cambridge finished last season in the 14th position in League One, having managed 58 points from 46 games.
Last season, Millwall came close to getting a playoff spot but eventually fell short in their quest. They finished ninth with 69 points from 46 games.
Crystal Palace will be taking on Millwall in a pre-season friendly on Saturday. The match will be conducted behind closed doors.