New signing Richard Naylor was named on the bench for the Millers after moving from Doncaster Rovers.
Di Canio played for Sheffield Wednesday but his Owls career ended in controversy when he was banned for 11 matches after pushing over referee Paul Alcock in 1998. He was subsequently sold to West Ham in a cut-price deal.
Matt Ritchie (19, 20) put the visitors in control with a quickfire double.
Alex Revell pulled a goal back for Rotherham on 54 minutes, but they were unable to find an equaliser.
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