They twice led by two goals they could never rest easy against a lively Burnley who justwould not lie down.
There was some shocking defending from both teams but that should not detract from some excellent football which saw the thrills continue from first kick to last.
On-loan striker Steve Kabba started the ball rolling by putting Grimsby ahead after two minutes only for Gareth Taylor to level on 21 minutes.
Then Steve Livingstone, who has recovered from a fractured skull, headed Grimsby 2-1into the lead on 27 minutes only for Ian Moore to level three minutes later.
But Kabba again on 31 minutes and midfielder Stuart Campbell made it 4-2 for Grimsby before Robbie Blake made it 4-3 in first-half stoppage time.
That third goal gave Burnley real hope and when Taylor levelled it at 4-4 on 49 minutes you fancied that the Lancashire side might win it.
But an Alan Pouton penalty on 55 minutes and a 72nd minute header from a corner by central defender Simon Ford looked to have put the game beyond Burnley.
But we should have known better and when Burnley were awarded a penalty eight minutes from time Blake converted to ensure the remaining minutes saw the nerves jangling for both sets of fans.
Grimsby dug in and with the crowd behind them they saw out the remaining minutes including four minutes of stoppage time for only their third win of the season.
For Burnley, after they had lost a 12-game unbeaten run by losing at home to Portsmouth on Saturday, this was a severe jolt on a ground that has never brought them much luck.