Five goals came in the first half hour, with the visitors going ahead inside the first minute when Billy Jones swung in a corner and Keith Lowe had the simple task of turning the ball into the net.
Rotherham were back on level terms within a matter of seconds when on-loan debutant Courtney Cameron swung the ball in from the left and his cross cleared everyone for Daniel Nardiello to head in at the far post.
And in the 19th minute Rotherham took the lead for the first time when Mark Bradley's cross was headed straight to Ben Pringle and he ran across the edge of the penalty area before placing a shot into the opposite corner.
Eight minutes later Rotherham added a third. Craig Morgan's pass picked out Nardiello and the Welshman rounded his marker and goalkeeper Scott Brown before firing into the empty net.
But Cheltenham hit back three minutes later when Marlon Pack found Jermaine McGlashan and he drew goalkeeper Andy Warrington before slipping the ball to Chris Zebroski for an unmissable chance.
The second period was nothing like as frantic as the first but Nardiello almost completed his hat-trick with a clever lob over the keeper and substitute Jeff Goulding headed on to the roof of the net for the visitors.
It was left Lee Frecklington to finally settle it with Rotherham's fourth in added time as he beat Brown with a deflected effort.
Source: PA
Source: PA