Both of our players started for the Robins at Griffin Park as the teams were locked at 1-1 after the first leg.
It didn't start well for Swindon as an own goal and Clayton Donaldson put Brentford 2-0 up and 3-1 up on aggregate.
Swindon clawed a goal back through Adam Rooney but the Bees re-established their two-goal advantage through Donaldson two minutes into the second half.
But Swindon fought back again. Massimo delivered the corner for Joe Devera to make it 3-2 on the day and then Aden Flint's dramatic equaliser in the 90th minute took the tie into extra time at 3-3 on the day, 4-4 on aggregate.
Nathan was somewhat unluckily sent off for a second bookable offence in the first period of extra time but the 10 men kept going and took the game to penalties.
Brentford kept their nerve and one missed penalty from Swindon was enough for the Bees to book their final place at Wembley, where they'll meet Yeovil for a place in the Championship next term.
Meanwhile, in the Premier League, Danny Rose came closest to securing a vital win for Sunderland as he struck the post with the score at 1-1 in the second half against Stoke on Monday night.
Sunderland trailed to Jon Walters' early goal and then went a man down with Craig Gardner's straight red card, but the home side fought back to level through John O'Shea in the second half.
Sunderland are still fighting against the drop though and Gardner's red card means he'll be suspended for the season's finale against us at the Lane on May 19.
As expected, our loan players experienced the joy and pain of football on the final day of the Championship.
The joy was with Harry Kane and Leicester City, as the Foxes scored a last-minute winner to beat Nottingham Forest and therefore make it into the play-offs at Bolton's expense.
However, the pain was with Alex Pritchard, as Peterborough United were relegated after conceding an 89th-minute goal at Crystal Palace.
Leicester needed to beat Forest and rely on Bolton dropping points against Blackpool.
It all fell together as Blackpool were soon 2-0 up at Bolton, but the Trotters made it back to 2-2 and had chances to win the game.
However, 2-2 would have been enough for Bolton - had Leicester not struck in injury time at the City Ground through Anthony Knockaert to take three points and climb into the play-offs.
Harry came on for the final 20 minutes at Forest and will now prepare for the play-off semi-final against Watford. The other semi-final is between Brighton and Palace.
At the other end of the table, Alex played 81 minutes as Peterborough United were relegated in extraordinary circumstances.
With 74 minutes on the clock around the grounds - every game kicked-off at 12.45pm - Posh were winning 2-1 at Palace and clear of the drop zone.
That's when Barnsley went 2-1 up at Huddersfield, pushing the Terriers into the bottom three.
The drama continued though. On 81 minutes, Huddersfield equalised to swap places in the relegation zone with Barnsley. Posh were still safe.
On 83 minutes, Kevin Phillips levelled for Palace against Posh - remember, Palace also needed points to confirm a place in the play-offs. At this point, Barnsley were still facing the drop.
Into the final minute at Selhurst Park and Mile Jedinak headed home for Palace for a 3-2 win, pushing Posh into the bottom three for the first time on the day. That's how it stayed, with Barnsley surviving.
David Bentley and Adam Smith were both unused substitutes as Blackburn and Millwall respectively picked up draws to secure their place in the Championship.
Meanwhile, Jon Obika scored a goal on his final loan appearance for Charlton, the third in a 4-1 win against Bristol City.
Elsewhere, Andros Townsend was in fine form for QPR, but Rangers lost 1-0 at home to Arsenal after conceding inside 30 seconds. Andros created chances in the first half for Bobby Zamora and Ji Sung Park before rifling in an effort in the second half that Wojciech Sczcesny did well to turn away.