Lys Mousset scored the only goal of the game after 36 minutes to give the home side all three points.
In truth, other than Pepe's golden opportunity at the half-hour mark, Arsenal didn't really look like scoring.
They were outclassed throughout and deserved to lose at Bramall Lane.
Unai Emery is now starting to find himself under pressure at Arsenal.
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The Spanish manager failed to get Arsenal back in the Champions League in his first season and is struggling in his second campaign at the club.
The Gunners are currently fifth in the Premier League having accumulated 15 points from their opening nine games.
Jamie Carragher was on punditry duty for Sky Sports and he could not help but rip into Arsenal after the game.
He made some pretty damning comments saying they have actually got worse under Emery than they were at the end of Arsene Wenger's tenure.
"I don't see anything different to when Arsene Wenger was there at the end. I don't see it," he said.
"In fact they actually look worse. In the first half tonight Sheffield United actually played better football than Arsenal. You would never say that under Wenger."
That's the truth, unfortunately. Emery has spent big at Arsenal but the team has failed to progress under his guidance.
Carragher went on to slate their defensive record away from home, which now stands at two clean sheets from their last 24 games.
"It's still early in his second season, but I think we're getting to that stage near Christmas where you think 'is Unai Emery the right man to take Arsenal into his third season?'" He added, per the Mirror.
"I think that's how it is with Arsenal supporters and within the club.
"I just expected something different. It's just like seeing the same stuff.
"A lot of the time a manager is brought in because the manager before is not getting X, Y or Z right. But they are still getting rolled over every time they play a big game.
"Their away record is two clean sheets in 24 games, eight wins in 24. What's changed? Nothing has changed."News Now - Sport News