Over 4,500 new Milton Keynes' fans cheered the Dons on, but their support failed to spur the team to their first win since the opening day of the season.
Stuart Murdoch's team had the better of the first half with young Michael Gordon twice going close in the first 30 minutes.
But the Blades almost took the lead against the run of play in the 27th minute when Ashley Ward's header was brilliantly cleared off the line by Darren Holloway.
The Dons' best chance of the first period fell to Patrick Agyemang. The forward followed up Joel McAnuff's drive, but somehow failed to head home from five yards.
After the break, Wimbledon continued to attack and got their deserved break in the 48th minute. Adam Nowland fired home a super free-kick to send the home fans wild.
The Blades refused to be written off however, and hit back with two goals in quick succession.
Just after the hour mark, Ward headed home a Michael Brown free-kick before Paul Peschisolido added a second minutes later.
Wimbledon desperately tried to force their way back and Jermaine Darlington went close with a long-range drive.
Nigel Reo-Coker almost rescued a point for the hosts in the dying seconds, but boss Murdoch was left downhearted afterwards.
"We can't keep blaming results on inexperience," he said. "We're still letting too many goals in and we're still not learning.
"But we've played the top of the league side tonight and I think we've given them a very good game."
Blades boss Neil Warnock said: "I knew tonight would be a tough game, irrelevant of our league position. Their players are so fast, they would have no problem in an Olympic sprint!
"I used to detest going to Selhurst Park with 1.000 fans. It's so much better here, it makes it more of a game."
Wimbledon: Heald, Holloway, Leigertwood, Gier, Darlington, Gordon, Reo-Coker, Nowland, McAnuff, Holdsworth, Agyemang. Subs: Banks, Jarrett, Gray, Chorley, Kamara.
Sheff Utd: Gerrard, Montgomery, Whitlow, Jagielka, Harley, Ndlovu, Brown, McCall, Tonge, Peschisolido, Ward. Subs: Armstrong, Lester, Allison, Rankine, Cryan.
Referee: S Dunn (Gloucestershire).