It was a frustrating day for the team who, only twelve months ago drew 1-1 with Liverpool on the opening day of the Premier League season. When United finally got going they took the lead through James Beattie's close range header but this was after he smashed the crossbar with his thundering header.
Bryan Robson's first day as a Sheffield United manager didn't work out the way he wanted when, at 2-1 up new £300,000 signing Clive Platt was unmarked to head home in the final minute to level the score at the death.
After completing a free transfer from West Ham United; Teddy Sherringham made his U's debut in what is his 24th season as a Professional Footballer - some feat in the modern game.
In the 19th minute Keith Gillespie almost found a way to goal with his teasing corner but was well cleared by George Elokobi before the visitors themselves almost broke the deadlock. Mark Yeates, a summer capture swept past debutant Lee Hendrie before unleashing a low cross which just narrowly missed Platt's stretched foot.
James Beattie got the better of Pat Baldwin as he attempted to clear Gillespie's corner but the former Everton mans header lacked fire as keeper Dean Gerken saved on the line.
Hendrie was then set up Beattie shortly after the re-start, he drilled the ball hard and low from 15 yards as the ball flashed wide of the goal.
The visitors almost snatched the lead on 51 minutes, winning a free-kick Jonnie Jackson smashed a powerful shot towards goal from 30 yards out which Paddy Kenny did well to save.
It was then the Blades turn to hit back and came the closest when United were denied by the woodwork, Gillespie forwarded a searing cross for Beattie to hammer the ball towards goal and crashed against the bar.
On 67th minute Derek Geary flung over a whipping cross and James Beattie beat Billy Sharp at the far post to head home past Gerken from five yards out.
Colchester United were on level terms immediately after the kick-off, Yeates weaving his way through to slip past Kenny with Kevin McLeoad on time to take the glory.
With eight minutes remaining the Blades hit back when Gillespie's corner was only half cleared and substitute Michael Tonge crashed home what was fought to be a winner.
However with just one minute remaining Clive Platt was found unmarked to head past a helpless Kenny after Karl Duguid supplied the deadly cross.
After just one game played United lay 12th in the table with just one point, whilst Southampton, Sheffield Wednesday and Barnsley hold the bottom three positions after there 4-1 defeats to Crystal Palace, Ipswich Town and Coventry City.