The long-serving United keeper completed a deadline day season-long loan move to the Amex Stadium at the end of last month, and made his bow for Chris Hughton's side in a third round tie against Bournemouth.
He wasn't beaten inside 90 minutes but Joshua King scored the only goal of the evening in extra time.
Speaking about Krul, former United boss Hughton told Brighton's official website: "I felt he was very good and very assured. Some of the saves that he made weren't very difficult, but he needed to show good hands. Overall, it was a very assured performance."
Adam Armstrong's Bolton also exited the cup at the third round stage, with a 3-0 defeat to West Ham. Armstrong came from the bench in the 80th minute.
Meanwhile in League One, Ivan Toney's current side Wigan came out on top against one of his former clubs, Northampton.
Toney replaced Will Grigg in the 74th minute of 1-0 win which took the Latics up to second.