The Lions have suffered in recent weeks and the former Crystal Palace boss is hoping they can claim a Premier League scalp in order to regain some momentum in the second tier
Holloway's side started their domestic campaign with back-to-back wins in the second tier, but their two fixtures since have not gone to plan.
|33/1||Southampton are 33/1 with William Hill to win the League Cup|
Tuesday's second round tie at The Den sees Millwall face another stiff test as Premier League side Southampton come to town and Holloway is eager to spring a surprise in order to regain some momentum in the league.
"I'm glad we managed to get there [to the second round of the competition]," he told the BBC.
"We'll be taking them on. Whether they make loads and loads of changes, I don’t care.
"What I'm looking for is getting a league campaign going which has us playing well every week.
"We'll get there eventually when we are ready for it, but at the moment the squad are doing what I ask them to do, except creating enough chances."
The two sides met in League One as recently as 2010, with both matches that season ending in draws.
Millwall have a poor record against Southampton in recent years, with their solitary victory from the two sides' last 12 meetings coming in an FA Cup tie two years ago.
Southampton go into the game looking for their first competitive victory under manager Ronald Koeman.
The Dutchman was impressed with his side's performance against Liverpool in a 2-1 defeat at Anfield, but was left bemoaning a lack of tempo as they were held to a goalless draw by West Brom at St Mary's on Saturday.
Koeman will be without Gaston Ramirez (groin) and Jay Rodriguez (knee), but Algeria midfielder Saphir Taider and Romania defender Florin Gardos could make their debuts following their recent moves to the south-coast club.
Holloway has a few injury concerns of his own to contend with, as midfield trio Nicky Bailey (calf), Ed Upson and Richard Chaplow (both hamstring) all look set to miss out.