The Motsepe Foundation Championship side continued the giant-killing theme of this season's competition with a 3-2 penalty shoot-out victory against Tinkler's charges at the Peter Mokaba Stadium.
Goalkeeper and captain Siphamandla Hleza proved to be the hero for Milford with two saves in the shootout after the game had ended 2-2 after extra-time.
Cheswyn Philander had given the lower league side the lead as early as the fourth minute, but the PSL equalised through Lehlohonolo Mojela just six minutes later.
Reflecting on the game, the Sekhukhune boss explained that he felt his team put in one of their best performances of the season.
He said on FARpost: "I am very happy with the performance that our boys put on.
"I think they were exceptional and I don't think we've played like that since the break. So I'm very proud of the effort they put in. It's heartbreaking for them, but I'm very proud of their performance."
Tinkler refused to accept that his team underestimated their opponents, adding: "No, not at all. Like I said, our team performed exceptionally well.
"We were by far the best team, and we created the most chances during the majority of the game. They spent the match defending, so I don't think we underestimated them.
"We all knew that this was never going to be an easy match against Milford. It doesn't matter whether they are a division lower or not. You always have to raise your level and play to a higher level, and I thought we did that today."
Sekhukhune will now turn their attentions back to the Betway Premiership and are next in action against Polokwane City at the Peter Mokaba Stadium this weekend.