Lee Croft fired the winning penalty to secure Latics a bonus point in the competition, with the scores at 2-2 in normal time.
After falling behind in the first half from Anthony Stokes opener, Freddie Ladapo got Latics level, before Liam Feeney smashed in a screamer to restore Blackburn’s lead.
With only 20 minutes of the game remaining, Brian Wilson stabbed home to equalise and send the game to penalties.
With the penalties at four each, Feeney missed his spot kick before Croft fired Latics the winner.
Manager Stephen Robinson made five changes to his side which beat Doncaster Rovers at the weekend with Billy Mckay retaining his place in attack.
One of those changes, Josh Law, who was restored to the starting 11 had the first shot of the game after three minutes which just sailed over the crossbar.
Athletic tried a free kick routine which almost paid off two minutes later as Ollie Banks played it short for Ryan Flynn in the penalty area but his shot was blocked.
The midfielder’s strike went out for a corner but Rovers would break from that set piece and almost take the lead.
Liam Feeney raced forward, tried to find Stokes in the penalty area but Connor Ripley was out quickly to intercept the low cross.
Both sides had spells of possession as Blackburn winger Connor Mahoney tested the palms of Ripley from 12 yards on 16 minutes.
The home side did take the lead on 23 minutes as Feeney’s header found Stokes who evaded Brian Wilson and fired into the top corner.
Latics almost responded instantly with a free kick from 20 yards out. After Calaum Jahraldo-Martin was fouled, Law stood over the ball but fired over the crossbar.
Flynn was a constant threat for Latics and on the half hour mark his shot was blocked into the path of Banks to strike but his shot went wide from 30 yards.
Latics were taking the game to Rovers and Mckay headed just wide of David Raya’s post after ghosting in front of his man minutes later.
Blackburn had a chance just before half time to take extend their lead but Bennett’s header went wide of Ripley’s post.
Robinson made two changes at half time as Freddie Ladapo and Lee Croft came on to replace Jahraldo-Martin and Jamie Reckord.
That move almost paid off 15 seconds into the second half as Ladapo crossed for Flynn to strike but he smashed the crossbar from 12 yards.
Athletic were keen to quickly get back into the game and a minute later, Ladapo again caused havoc, created space but smashed wide of Raya’s far post.
For all Latics’ dominance they did manage to get the equalise on 49 minutes courtesy of substitute Ladapo.
However, it was all the good work of his fellow substitute Croft who set up the goal. The winger raced forward, waited and picked out the onrushing Ladapo who volleyed home from close range.
Athletic would go close to taking the lead two minutes later as again Croft, who was causing havoc on the right, crossed to the back post for Charles Dunne but his header was well saved by Raya.
For all of Latics’ dominance in the early parts of the second half, they were undone by a wonder strike from Feeney who restored Rovers’ lead.
The winger found space 25 yards from goal and unleashed an unstoppable effort which flew past Ripley into the top corner to make 2-1 to the hosts.
Athletic were slightly shell-shocked as the goal came against the run of play but they quickly set about getting on level terms.
Ladapo, who was impressive in attack, struck from 25 yards which the goalkeeper saved whilst Robinson brought on Ryan McLaughlin to replace Flynn in the final change of the night for Latics.
On 67 minutes, Athletic were level for the second time in the game as Wilson stabbed home from six yards.
Banks’ free kick into the box was excellent and it fell to Wilson six yards out who made no mistake and got Latics level.
Latics again looked dangerous as they had the momentum but Croft just took too much time when presented with space at the back post as his eventual shot was blocked.
It was a much improved second half performance from Latics as they knocked the ball around comfortably.
On 75 minutes Cameron Burgess struck from the edge of the penalty area after a 15 pass move but it went inches wide of the post.
Both sides threatened in the final 15 minutes of the game but neither side could create a clear cut goalscoring opportunity as the game eventually went to a penalty shootout.
Banks, Mckay, Ripley and McLaughlin converted, whilst Croft netted the winner to give Latics the bonus point.
Blackburn Rovers: Raya, Feeney, Stokes, Hendrie (Doyle 65’), Nyambe, Tomlinson, Mahoney, Brown, Bennett, Wharton, Hardcastle.
Subs not used: Fisher, Thomson, Travis, Rittenburg, Platt, Magloire.
Oldham Athletic: Ripley, Law, Burgess, Wilson, Dunne, Reckord (Ladapo 46’), Fane, Banks, Flynn (McLaughlin 65’), Jahraldo (Croft 46’), Mckay.
Subs not used: Kettings, King, Klok, Osei.
Goals: Blackburn Rovers (Stokes 23’, Feeney 61’) 2-2 Oldham Athletic (Ladapo 49’, Wilson 67’)