In this paper, air-filled Substrate Integrated Waveguide (SIW) is proposed and demonstrated for the first time at U-band. This low-loss transmission line is developed on a low-cost multilayer Printed Circuit Board (PCB) process. The top and bottom layers may make use of an extremely low-cost standard substrate such as FR-4 on which base-band or digital circuits can be designed so to obtain a very compact, high performance, low-cost and self-packaged integrated system. For measurement purposes, an optimized-length dielectric- to air-filled SIW transition operating at U-band with 0.21 ±0.055 dB insertion loss is developed. The measured insertion loss of an air-filled SIW of interest at U-band is 0.122 ±0.122 dB/cm compared to 0.4 ±0.13 dB/cm for its dielectric-filled counterpart. Furthermore, an air-filled SIW phase shifter is reported for the first time. It achieves a measured 0.15 ±0.14 dB transmission loss at U-band. The proposed air-filled SIW transmission line and phase shifter are of particular interest for high performance and low-cost millimeter-wave circuits and systems.