Wanderers went one step better than the original cup tie at the Macron Stadium, thanks to James Henry actually taking a chance to take the lead in the replay. But the introduction of the Belgian forward turned the game on its head as he scored two goals in nine minutes to send the south London side through.
Victory would have seen Wanderers face City at home in the Fourth Round, in a clash that was set to be broadcast live on BBC. This, on top of the £67,500 fee for winning in the third round, would have earned Bolton a estimated, vital £500,000. But it wasn't to be.
Wanderers named an unchanged side for the trip to Selhurst Park, with Zach Clough and Henry marshalling the wings behind Gary Madine. While Sam Allardyce again made a host of changes to his side, with the ineffective Loic Remy leading the line alongside full debutant Sulley Kaikai.
The first half saw both sides looking pretty equal, with the visitors having the best attempt on goal through Josh Vela, who latched on to a Clough cut-back and fired a shot narrowly wide of goal. The nearest Palace came was a free-kick just outside the area, which was curled inches wide by Kaikai, who was by far the hosts' brightest spark. Ben Alnwick made a save from a Martin Kelly header, the horrible Joe Ledley handled the ball into the net and was duly booked, but other than that there was nothing in it as the sides headed in for half-time.
Bolton came out full of belief in the second half, and it soon paid off. Jay Spearing lofted a free-kick long into the box from the half-way line, Madine did superbly to knock the ball into the path of Henry and the winger sublimely curled the ball over Julian Speroni and into the top corner of the net. And the travelling 1,000 fans went mad. Henry has been wasteful in the last few games, but this was a superb finish from the loanee and hopefully this will give him a platform to build on in the next few weeks.
Very little threat came from Palace immediately after the goal, raising Wanderers' fans hopes that a crucial upset was on the cards. But, just after the hour mark Allardyce decided enough was enough and threw on a trio of regular Premier League starters in the form of James Tomkins, Jason Puncheon and of course Benteke. And it made all the difference.
Just five minutes after his introduction Benteke, perhaps not very well marked if we're being critical, rose between David Wheater and Lawrie Wilson to power a header past Alnwick. Then, just nine minutes later, he was at it again. Much worse defending from Wilson saw Andros Townsend get to the byline with ease and float a cross over to Benteke, who brought the ball down superbly and fired a shot on the turn into the bottom corner.
Predictably, Wanderers managed to waste a couple of late chances through Clough, who fired wide from close range then saw an effort saved by Speroni, and were ultimately unable to force an equaliser.
Of course it's disappointing to lead then lose in any match. But realistically, when a Premier League side brings on a £30m striker against a side that has been assembled for free, you have to expect him to change the game. But it's annoying from our perspective, given the financial possibilities available to us had we managed to hold onto our 1-0 lead.
Hopefully our performance in pushing Palace close over two games - and forgetting the unacceptable defeat to Swindon Town between them - will give the players confidence to kick on for the rest of the season and secure promotion - which really is the only thing that matters this season.
We haven't won in three league games and now have a big trip to Southend United on Saturday, which is on the verge of being a must-win.