Millwall suffered a cruel 6-5 defeat on penalties, after pushing The Blades all the way at Bramall Lane.
Tom Leahy's magical 87th minute equaliser forced the game to extra-time, but neither side could nick a winner and the match was decided from the spot after finishing 1-1.
The Lions fought valiantly throughout and were the first to create an opening. Leahy got the better of his man down the right channel and pulled the ball back to Zak Lovelace, whose first time shot was deflected narrowly wide, and behind for a corner.
Millwall started the stronger of the two teams and even had the ball in the back of the net, but Lovelace's finish was chalked off by the linesman. The near scare was a wakeup call for the hosts, who retaliated and created a couple of opportunities before the break.
The first; a sneak at goal for Antwoine Hackford, who had looked to have beat Kyle Smith for pace but The Lions defender recovered to block the eventual strike.
Five minutes from the break Ryan Hammond displayed his goalkeeping quality. A Sheffield United corner was met by the head of Sai Sachdev, and somehow Hammond accrobatically stopped the effort and did enough to get back up to his feet and make sure the following shot could only hit the post.
The game began to open up in the second-half, and The Blades found the opening with 18 minutes left to play. Sydie Peck adjusted his body and nodded the ball into the beckoning net, after being found by substitute Kurtis Havenhand.
As the clock ticked on it seemed the game would slip out of reach, but Tom Leahy had other ideas. The tricky youngster completely outfoxed his marker, cut inside and wrapped a stunning curling effort in off the post, from outside the area, to force the game to extra time.
The home side created the better of the chances in the subsequent extra half-hour; Havenhand specifically had two glorious opportunties. A whipped low ball into the area, fizzed across the six-yard box, but the forward couldn't stretch enough to make contact and tap into the net.
Just 13 minutes before the shoot-out the attacker popped up again. Having beat the offside trap, he had just Hammond to beat, however, his swing at the ball lacked composure and his attempt trickled into the 'keeper's arms.
The penalties got off to a perfect start with George Dickinson and Zak Lovelace netting for their respective teams. Romain Esse fired home after Charlie Staniland blazed over to give Millwall the advantage. Chinwike Okoli could of won it with The Lion's fifth, but Callum Hiddleston made his first of three saves in the shoot-out to set Sheffield United on their way.
After Billy Blacker scored United's sixth, the pressure was on Oliver Evans to score - unfortunately Hiddleston dived the right way and won the game for Sheffield United, setting up a Fourth Round trip to Everton.
The Lions: Hammond, Smith, Adom-Malaki (O. Evans 119'), Cotton (Coleman 81'), Okoli, Stephenson (Cheesman 90+2'), Walker, Esse, Lovelace, Hefzalla (Massey 65'), Leahy
Unused: G. Evans, Hamouchene
Goal: Leahy 87'