Harry Holland headed an equaliser six minutes from time to take this well-contested cup tie to penalties and the Reds held their nerve to book a Round Two tie at home to Hillingdon Borough.
With Saturday's FA Vase tie at Long Melford in mind, assistant manager Dean Gilbert made some changes to the side that won so comprehensively against Arlesey Town Reserves. There were starts for Shaun Turner and Owen Robertson on the flanks and Harry Holland came in up front with Adam Pitcairn, Anthony James and Lewis Barker all dropping to the bench.
The home side were dealt a blow in the opening ten minutes when Kim Forsythe limped off with a suspected hamstring strain, so top scorer Anthony James was thrust into the action quicker than expected.
Both sides went toe-to-toe in the first period with little to choose between them. Owen Robertson brought a good save out of the visiting keeper, whilst a free-kick from Jack Gregson and a fierce drive from James also went close for Town.
The visitors enjoyed some decent spells of possession themselves and Jack Farmer had to be at his best to deny the dangerous Lee Armitt on more than one occasion.
With the half heading for stalemate, Jets made the breakthrough on 37 minutes. A corner from Martin Netzer found Jack Robertson unmarked and he thundered a header into the corner of the Baldock net. Town wobbled a little after going behind and a superb piece of skill on the byline from Armitt threatened to double Jets lead, but Farmer was equal to it.
There was a lot of frustration as the Reds left the field at half time, but in truth, there had been little to choose between the teams. Oxhey were completely different proposition to Saturday's opponents and Baldock were forced to just hang in there at times.
Credit to Gilbert and his team though as they did just that. Oxhey were a threat on the counter attack throughout the second half, but the home side kept chipping away and probing, led by skipper Jack Gregson who has an excellent game in the Reds midfield.
He was joined in the second period by Lewis Barker from the bench and this gave Town a bit of added bite. They looked to be running out of time despite a valiant effort, but they finally found a way past a stubborn visiting defence with six minutes remaining.
Gregson swung in one of his trademark inswingers from out on the right and Harry Holland arrived through the crowd to head home.
Both teams had a crack at winning it before the end, but the tie ended level and so went straight to penalties. Buoyed by their shootout success against Langford recently, Town once again held their nerve from the penalty spot.
Alex Coppin converted, before the visitors blazed wide. Holland made it 2-0 and Oxhey then halved the deficit. Owen Robertson showed the way with a cracking penalty into the top corner. The visitors dragged their third penalty wide meaning that Rob Beckwith had to score to win the tie. He duly accepted the invite and stroked home Town's fourth.
This latest shootout win makes it four successful ones in a row now for Baldock. They will play Hillingdon Borough in the next round at Roker Park on Tuesday 29th November.
Town: Farmer, Furness, Coppin, Gilbert, Beckwith, Gregson, Turner, Payne(Barker 55), Holland, Forsythe(James 8), Robertson Subs Not Used: Pitcairn
Photo: Oxhey Jets Twitter page
Challenge Trophy Round One:
Amersham Town 0-4 Risborough Rangers
Ampthill Town 1-3 Unite MK FC
Aston Clinton v Tring Athletic
Baldock Town 1-1 Oxhey Jets - 4-1 on pens
Biggleswade 9-1 Tring Town
Biggleswade United 5-1 Pitstone & Ivinghoe
Broadfields United v Tring Corinthians
Buckingham Athletic 0-1 Enfield Borough
Clean Slate v Arlesey Town Reserves
Cockfosters 4-1 Hatfield Town
Codicote v Hoddesdon Town
Crawley Green 4-0 Grendon Rangers
Edgware Town 2-0 London Tigers
FC Broxbourne Borough 0-2 Colney Heath
Hadley 2-0 Harefield United
Hadley Wood & Wingate 1-2 Bedford
Hale Leys United 0-8 Langford
Hillingdon Borough 4-0 Loughton Manor
Holmer Green 1-2 Leverstock Green
Kensington Borough v Thame Rangers
London Colney 3-1 Brimsdown
MK Gallacticos v Wembley
Mursley United 2-0 Old Bradwell United
Southall 5-1 Stotfold
St Margaretsbury v Hertford Town
St Neots Town Reserves 1-2 Leighton Town
Stony Stratford Town v Chesham United Reserves (Away Win)
Sun Sports 3-1 Harpenden Town
Totternhoe 2-2 New Bradwell St Peter - 4-3 on pens
Welwyn Garden City 2-2 The 61FC (Luton) - 3-0 on pens
Wodson Park 1-3 Berkhamsted
Bye Winslow United
Challenge Trophy Round Two:
Baldock Town v Hillingdon Borough
Berkhamsted v Colney Heath
Chesham United Reserves v MK Gallacticos OR Wembley
Clean Slate OR Arlesey Town Reserves v Hadley
Cockfosters v Enfield Borough
Crawley Green v Biggleswade United
Edgware Town v Aston Clinton OR Tring Athletic
Langford v Sun Sports
Leighton Town v Risborough Rangers
Leverstock Green v Bedford
London Colney v Biggleswade FC
Kensington Borough OR Thame Rangers v Broadfields United OR Tring Corinthians
Southall v Mursley United
St Margaretsbury OR Hertford Town v Codicote OR Hoddesdon Town
Totternhoe v Winslow United
Unite MK FC v Welwyn Garden City
We will be at home to London Colney OR Biggleswade if we beat Hillingdon Borough.