The hosts went in front when Tyrone Barnett stabbed in as the Blades appealed in vain that goalkeeper George Long had control of the ball.
Dean Hammond headed an equaliser but David Worrall drilled home to re-establish the Shrimpers' lead.
Jack Payne sealed the victory with a dinked finish just seconds after Che Adams hit a post for the away side.
Southend climb to eighth, six points adrift of the play-off places, while Sheffield United slip to 13th.
Southend United gave their fading League One play-off hopes a boost with a home victory over Sheffield United.