The Blades are still looking for first win of the season after being hit by a quickfire treble on Tuesday evening.
Goals after 5, 13 and 15 minutes enabled Southend United to leave Bramall Lane with the points.
For the fourth consecutive game, boss Wilder named an unchanged team. The substitutes also remained the same from the weekend's game at Rochdale.
United won an early corner and Done volleyed wide after a short delivery involving Duffy and Hussey and then, for the next ten minutes, the Blades fans were dumbfounded.
It began on five minutes when O'Neill's cross deflected off O'CONNELL's shins over Long and into the net with the goalkeeper given no chance. With Southend's next attack, United lost the initial header from a routine ball forward and Cox benefitted from hesitancy between Long and Hussey before laying off for McLAUGHLIN to tap in to the empty net. And two minutes later it got worse; a mistake by O'Connell saw Ranger take advantage this time and COX sidefooted past the sprawling Long. There was a suspicion of offside for the second and third goals but there was no assistance from the officials.
As United looked to respond, there was almost a fourth when O'Neill's cross hit the shins of Brayford and spun behind for a corner, before the home side attempted to force Southend back.
A number of corners saw the visitors defend desperately, including a great interception by Leonard which prevented a certain goal from Clarke. United's efforts, though, did not force Oxley into a notable save before the half-time whistle.
There was a double change at the break with Coutts and Chapman taking over from Fleck and Done and the Blades were quickly on the front foot, but again chances were limited. In the first 15 minutes of the half, Sharp curled wide a Duffy cross after Clarke's persistence and Hussey fired a free-kick wide.
A penalty appeal waved away when O'Neill clash with Sharp from Brayford's deep cross and Southend skipper Barrett prevented a certain goal when he beat Sharp to Hussey's cross following a neat move from right to left.
Another penalty shout was waved away, this time Chapman hitting the deck, and as time ticked away so did United's hopes of getting back into the game. Late on United's night was summed up when Sharp got around the back of the defence but his pull-back evaded all the home players in the Southend box.
Blades: Long, Brayford, Hussey, Fleck (Coutts 45), O'Connell, Basham, Sharp, Done (Chapman 45), Wilson, Duffy (Scougall 72), Clarke.
Unused: McNulty, Ramsdale, Wright, Freeman.
Southend: Oxley, Coker, Thompson, Barrett, O'Neill, Cox (Atkinson 76), McLaughlin, King, Leonard, Demetriou, Ranger (Mooney 25, Williams 86).
Unused: White, McGlashan, Bridge, Smith.