Championship side Millwall had forced penalties thanks to a dramatic Ryan Leonard header from Jack Howland’s corner in the first minute of added time.
Palace had taken the lead in the 72nd minute when Chris Richards turned home a loose ball from close range following a corner routine.
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And Benitez did Jean-Philippe Mateta a big favour by helping the Premier League side win the shootout 4-2 against Millwall.
The French striker missed a sitter deep into injury time when he screwed a shot wide from eight yards out.
Argentine Benitez saved from Tristan Crama and Aidomo Emakhu, while Palace scored all four of their spot-kicks.
The success extended Palace’s unbeaten run to 16 games in all competitions, a streak going back to mid-April.
Crystal Palace, perhaps inspired by the buzz of winning the FA Cup last season for their first ever trophy, put out a strong line-up with only four changes from the side that drew against Sunderland on Saturday.
Two players were handed debuts from the start – Benitez, 32, a summer signing from PSV, and teenage French defender Jaydee Canvot, a new recruit from Toulouse.
The Super Eagles forward, Christantus Uche got his first League Cup debut for the Eagles, coming on as a substitute to replace R. Esse in the 46th minutes.
They will not find out their fourth-round opponents for another eight days, though, because this round of the competition is spread across two weeks.
The Eagles have London derby next, visiting West Ham on Saturday.
