Captain Siphamandla Hleza emerged as Milford’s hero, pulling off two crucial saves in the shootout after the tie ended 2-2 in extra time.
Cheswyn Philander had given the lower league side the as early as the fourth minute but the the PSL equalised through Lehlohonolo Mojela just six minutes later.
Neither side created enough for the rest of the contest and fixture went into extra-time.
Sekhukune took the lead in the first half of extra-time when substitute Olerato Mandi snuck the ball past Hleza at the near post.
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Milford showed great fighting though and made it 2-2 through Sibulele Mekuto in the dying stages to send the game into penalties.
Hleza made saves to deny Bradley Grobler and Mogaila before the goalkeeper stepped up himself to bury his spot-kick and send his team into the semifinals.