Bet365 (h/t OddsChecker) have handed the Blues odds of just 1-10, compared to 22-1 for the visitors. A draw comes in at 9-1.
American viewers can tune in to watch this tie via the ESPN+ app.
Grimsby needed penalties to beat Macclesfield in the second round and set up this trip to west London, and they are also coming off a win over the Silkmen in League Two on Saturday.
The Mariners have enjoyed some stellar cup runs in their long history―including two FA Cup semi-final appearances―but they've been toiling away near the bottom of the Football League for years and even had a non-league spell between 2010 and 2016.
Given the low level of opposition, Chelsea are expected to make several changes to their starting XI. Head coach Frank Lampard has already said Reece James and Callum Hudson-Odoi will play:
Talent development is the key objective for the Blues this season after a summer in which the club couldn't bring in established stars due to a transfer ban. The young squad is led by a young manager, and the goal is to grow and lay a foundation for a bright future.
Tammy Abraham and Mason Mount have carried much of the scoring load for Chelsea this season, and Fikayo Tomori has been another youthful standout. Hudson-Odoi and James have yet to feature this season, but the club and fans alike have big expectations for the two teenagers.
The former was a standout last season, and he signed a new long-term contract last week:
James spent last season on loan at Wigan Athletic and won their player-of-the-year award. The sale of Jay Dasilva, who had previously been regarded as the best left-back prospect in Chelsea's system, may indicate how strongly the Blues feel about the 19-year-old.
This is one of the biggest matches of the season for Grimsby, who will be highly motivated for their trip to Stamford Bridge. Chelsea should cruise to a win here, though, even if Lampard starts 11 backups and inexperienced youngsters.
Prediction: Chelsea 3-0 Grimsby Town