Jake Cooper continued his run of scoring against the Blades by heading the winner, while United never seriously tested the home goal despite some brighter periods in the second half.
They are now out of the play-off positions after being leapfrogged by Luton Town, who won 1-0 at home to Derby County today to move up to sixth.
Here’s how our man Danny Hall rated the Blades’ players on an afternoon to forget in the capital.
1. Wes Foderingham 5
Had a nervy moment in the second half when a shot from outside the box squirmed through his grasp, but the hosts couldn't force the ball over the line and United lived to fight another day - until Cooper pounced Photo: Isaac Parkin
2. George Baldock 5
Gave United another injury scare in the first half when he pulled up and went down for some treatment, but he was able to return to the field. Booked in the second half for a 'professional' challenge, let's say, to halt a Millwall attack. Photo: Isaac Parkin
3. Kyron Gordon 6
Making his league debut for the Blades in the absences of Chris Basham and Charlie Goode, he won a commanding early header which would have been good for his confidence and later sent a good ball over the top to Sharp, but the skipper couldn't take advantage. Photo: Mark Thompson
4. John Egan 6
Had United's first effort on target after the half-hour mark, when he rose highest but headed Hourihane's cross straight at Bialkowski in the Millwall goal Photo: Isaac Parkin