The Palace U23 side went down to their south London rivals, Millwall, at the Copers Cope training ground this afternoon.
Millwall started the better of the two sides. Saunders-Henry was involved in some neat interplay on the edge of the Palace penalty area and curled a shot towards the top left-hand corner that Joe Tupper tipped onto the bar.
And it was the visitors who continued the early pressure. A pass was intercepted in the middle of the park and Isaac Olaofe got a shot off from 12 yards out, Tupper got down quickly and made a good save low to his right.
The next big chance came in the 29th minute and again Tupper was tested. Noel Leighton hit a half volley from the penalty area and the Palace keeper leapt to his left and pushed the shot round the post.
That was the last of the action of the first half in which Palace did well to remain on level terms.
The Eagles started the second half the better of the two sides but again, it was Millwall who had the first chance after the restart.
In the 50th minute Palace won a corner but Millwall launched a counter-attack and it needed Tyler Brown to make a goal saving tackle to stop the Lions taking the lead.
Palace won their next corner in the 53rd minute and Millwall had their next chance and this time they took the lead. Harry Girling in the Millwall goal claimed the corner and immediately released David Adjiboye with a long-distance throw. Adjiboye beat the challenge of Tyler Brown and slotted beyond Tupper to give the visitors the lead.
Palace’s best chance of the match came in the 73rd minute when Brown delivered a cross into the Millwall box that missed James Daly’s head by inches.
The match got worse for Palace, as in the 90th minute Sam Woods was sent off for a late challenge on Jethro Hanson.
That was the last action of the game which brought the Palace U23s unbeaten run to an end.
Crystal Palace: Tupper, Robertson (Trialist 61), Woods, O'Dwyer (Phillips 660, Brown, McGregor, Kirby, Flanagan, Lokilo, Hungbo, Daly.
Subs: Webber, Byron, Boateng.
Milwall: Girling, McNamara, Tiensia, Donovan, Debrah, Mbulu, Adjiboye, Hanson, Leighton, Olaofe, Saunders-Henry.
Subs: Wicks, Wright, Sinclair, Neary, Brymora.