Here’s how we rated the Blades after the dramatic 2-1 defeat...
. Sheffield United's English-born Scottish striker Oliver McBurnie (C) reacts at the final whistle during the English FA Cup quarter-final football match between Sheffield United and Arsenal at Bramall Lane in Sheffield, northern England on June 28, 2020. (Photo by Oli SCARFF / POOL / AFP) / RESTRICTED TO EDITORIAL USE. No use with unauthorized audio, video, data, fixture lists, club/league logos or 'live' services. Online in-match use limited to 120 images. An additional 40 images may be used in extra time. No video emulation. Social media in-match use limited to 120 images. An additional 40 images may be used in extra time. No use in betting publications, games or single club/league/player publications. / (Photo by OLI SCARFF/POOL/AFP via Getty Images)
Oli McBurnie's reaction at the final whistle says it all as SHeffield United are knocked out of the FA Cup by Arsenal (Photo by OLI SCARFF/POOL/AFP via Getty Images) Photo: OLI SCARFF
. Dean Henderson - 6
Looked upset not to have saved Pepe's early penalty and almost equalised in freak circumstances when his long kick was taken by the wind Photo: PAUL ELLIS
. George Baldock - 6
Plenty of endeavour as ever from the wing back but he made way for Kieron Freeman in the second half Photo: Michael Regan
. Chrs Basham - 5
Looked distraught to have given away the spot-kick by fouling Lacazette and later missed a gilt-edged chance from Robinson's superb cross from the left Photo: Michael Regan
. John Egan - 6
Returned to the side after his one-match ban and thought he had equalised for the Blades when he bundled home, but McGoldrick had been flagged offside Photo: Laurence Griffiths
. Jack Robinson - 6
Showed good defensive instincts to cut out a dangerous cross and his flat long throw was a constant threat throughout, with McBurnie testing Martinez's handling from one. Didn't cover himself in glory with the winner Photo: OWEN HUMPHREYS
1. Dean Henderson - 6
Looked upset not to have saved Pepe's early penalty and almost equalised in freak circumstances when his long kick was taken by the wind Photo: PAUL ELLIS
2. George Baldock - 6
Plenty of endeavour as ever from the wing back but he made way for Kieron Freeman in the second half Photo: Michael Regan
3. Chrs Basham - 5
Looked distraught to have given away the spot-kick by fouling Lacazette and later missed a gilt-edged chance from Robinson's superb cross from the left Photo: Michael Regan
4. John Egan - 6
Returned to the side after his one-match ban and thought he had equalised for the Blades when he bundled home, but McGoldrick had been flagged offside Photo: Laurence Griffiths