Ross Stewart scored a second-half double for Southampton, overturning Tyrese Campbell's earlier opener for the Blades.
The match saw Southampton's Adam Armstrong miss a penalty and Sheffield United manager Chris Wilder receive a red card for kicking a ball into the stands.
A late equaliser for Sheffield United, scored by Sydie Peck, was controversially disallowed by the referee for a foul on the goalkeeper.
The win moved Southampton from 19th to 13th in the league table, while Sheffield United remained rooted to the bottom.