Full-time score from Bramall Lane
Aiden O'Brien's rich scoring vein continued as the Millwall marksman bagged a brace to secure a fourth away win of the season at Bramall Lane.
O'Brien grabbed his sixth goal of the campaign with The Lions' opener on 30 minutes and although sub Jose Baxter hauled The Blades level in the second-half, 22-year-old O'Brien smacked home his - and Millwall's - second of the game 10 minutes from time put the seal on a gutsy team display.
Neil Harrris made three changes to the side that drew at Blackpool in midweek with Shaun Cummings replacing suspended right-back Carlos Edwards, Ben Thompson in for Shaun Williams (back) and Fred Onyedinma taking his place in midfield with Shane Ferguson dropping to the bench.
Millwall carved out the first chance on goal with just under three minutes on the clock. A long forward kick from Jordan Archer was flicked on by Steve Morison with both Lee Gregory and Onyedinma in space to his right. Onyedinma took charge and hit a stinging first-time drive that flashed a couple of yards wide of the target.
Mark Beevers directed a header from George Saville's corner - the first of the game - narrowly past the upright as The Lions pressed in the first five minutes.
But United were only denied an opening goal on seven minutes by the woodwork. Billy Sharp did enough to nudge the ball into the path of Che Adams, who took aim with an arrowed drive from 20 yards that crashed against the foot of the post and behind for a goal-kick.
It took a superb low block from skipper Tony Craig to deny Adams as the United striker latched onto Jamal Campbell-Ryce's cutback 10 yards from goal, whilst Beevers got in well with an equally robust sliding challenge to deflect Sharp's dangerous cross out of play.
United were looking to use the pace and direct approach of Campbell-Ryce on the counter-attack and it was from the wide-man's teasing 25th-minute delivery that Onyedinma completed a gut-busting pitch-length sprint to head clear under pressure from Matt Done at the back post.
The home defence dispatched some rough-tough treatment to Lions duo Morison and Gregory, both of whom were caught by stray arms off the ball in quick succession as United tried to upset a Millwall team that was growing in confidence as the opening half progressed.
And it was the home team who were knocked sideways on the half hour mark when Millwall made the all-important breakthrough.
Onyedinma and Cummings exchanged passes on the right and the latter's delightful clipped cross was met by O'Brien, whose looping header left keeper Mark Howard grasping at thin air.
At this stage Harris looked to comfortably have the measure of their opponents as the visitors kept their shape and discipline to see out the remainder of the opening half.
Midfielder Saville tried his luck from distance with a speculative 30-yarder that the keeper saved comfortably low to his left with the last action of what was a most positive first-half for The Lions.
United, who had been booed off by the Bramall Lane faithful at the break, made one change when the teams returned with Baxter replacing Done.
However it was Millwall who could have doubled their tally within eight minutes of the restart. A huge throw from keeper Archer picked out Onyedinma and the teenager shrugged off a feeble defensive challenge on the halfway line and sprinted into space. With Gregory unmarked and screaming for the ball to be slipped into his path, Onyedinma went for goal and hit a rising shot that Howard pushed over for a corner.
Blades boss Nigel Adkins introduced Conor Sammon to the fray on 66 mintes replacing the pacy Campbell-Ryce as the home side went more direct in their attacking approach.
The move nearly paid dividends immediately when, with his first touch, Sammon nodded the ball down into the path of fellow sub Baxter, whose first-time shot whizzed a foot wide of the upright.
There was to be no stopping Baxter and on 70 minutes the United man was on hand to thump the ball past Archer and into the roof of the net after getting on the end of Kieron Freeman's cross from the right.
Millwall's response was to shuffle the playing pack with Ferguson replacing Gregory in a move that saw O'Brien move into a central striking position and the sub slot in on the left of midfield.
It proved an inspired switch as Ferguson's quick thinking - and equally quick feet - carved out an opening 10 minutes from time for what proved to be the winner. Picking up the ball on the left, the sub jinked his way into the penalty area and whipped over a cross that O'Brien rammed home at the far post.
Sheffield tried to work up a head of steam, but The Lions were in no mood to relinquish the lead they had twice worked so hard to establish and saw out the game for another excellent three awayday points.
Sheffield United: Howard, Freeman (Flynn, 85mins), Basham, Sharp, Done (Baxter, 46mins), Collins, Campbell-Ryce (Sammon, 66mins), Adams, Wallace, McGahey, Hammond. Subs not used: Coutts, Woolford, Long, Kennedy.
Scorer: Baxter (70mins)
Millwall: Archer, Cummings, J.Martin, Craig, Beevers, Saville, Thompson, O'Brien (L.Martin, 86mins), Onyedinma (Webster 90+1mins), Morison, Gregory (Ferguson, 72mins), Subs not used: Forde, Powell, Romeo, Pavey.
Bookings: J, Martin (51mins), Archer (85mins)
Scorer: O'Brien (30, 80mins)
Ref: A. Haines