The Lions dominated the early stages of the game with Steve Morison forcing Steve Simonsen into a save before Danny Shittu headed over when he should have scored.
However just before the half-hour mark John Marquis' pass to Morison was intercepted and a quick Sheffield United break resulted in on-loan Sunderland midfielder Reid firing in off the underside of the bar.
Millwall pressed for an equaliser in the second half but the Blades held on for their first win in five matches.
The result moved Gary Speed's side up to 19th, just one point behind Millwall who dropped to 17th place.
United had the first effort on goal with Reid forcing Millwall goalkeeper David Forde into action with a 20-yard shot.
However, Millwall quickly found their rhythm and James Henry had a shot blocked by Kyle Bartley before Danny Schofield sent an effort wide.
Moments later Scott Barron's corner found Morison and his goalbound header was cleared away by Nyron Nosworthy.
Another delivery into the box caused havoc among the United defence and Millwall captain Paul Robinson had two strikes at the ball but the visitors cleared.
The Lions were firmly on top and with 19 minutes gone the dangerous Morison got a sight of goal but his lofted effort was saved by Simonsen.
A minute later Millwall should have taken the lead when Henry's free-kick found the onrushing Shittu but he headed over from close range.
In the 29th minute the visitors made Millwall pay for their profligacy when a quick break saw Yeates play in Reid who finished off the underside of the bar.
The home side pressed in search of an equaliser before the break but Morison headed over from 12 yards.
Millwall made a bright start to the second-half with John Marquis firing over but the visitors began to stamp their authority on the game.
Yeates fizzed a shot wide from just outside the area with Forde scrambling across goal.
Liam Trotter then headed wide for Millwall and manager Kenny Jackett threw on Neil Harris and Chris Hackett in an attempt to force an equaliser.
Hackett tried to make an immediate impact and fired wide from distance before Robinson headed over Barron's corner.
Millwall continued to dominate possession without really testing Simonsen and a frustrating afternoon for Morison continued when he shot wide as the visitors held on for the three points.