Marc McNulty’s 63rd-minute strike was enough to send the League One side into the last four.
McNulty helped Bob Harris’ free kick over the line after the latter was fouled by Saido Mane on the edge of the box. Fraser Forster should have held onto the original effort, but his fumble left the ball at the mercy of United’s top scorer.
Both teams had chances in the first half but a combination of good defending and bad finishing meant that neither could break the deadlock.
Southampton started the second half the brighter of the two teams but they could not break down a Blades team that defended in numbers and closed down every attack.
Saints defender Florin Gardos was shown a straight red card in the 89th minute for denying McNulty a goal-scoring opportunity to complete a miserable night for the south coast side.
The visiting team welcomed back Morgan Schniederlin who had been missing from their last four games; which all ended in defeats. United recalled their top scorer McNulty to the starting line-up.
Midfielder Jamal Campbell-Ryce was fouled by Ryan Bertrand in the 11th minute to win a free-kick but the Blades failed to capitalise. Campbell-Ryce sent a good cross into the box seven minutes later but Forster came out to collect.
James Ward-Prowse was the liveliest Saints player in the first half. The midfielder was fouled in the 28th minute and the aftermath of the resulting free-kick saw United keeper Mark Howard fail to collect not one but two crosses into the box. Luckily for Nigel Clough’s men, Saido Mane couldn’t get the ball under control or make the most of the opportunity.
The winning goal came from the sloppy defending of Mane. He was already on a yellow card when he fouled Bob Harris on the edge of the box.
Harris struck his low and Forster could not hold it, with McNulty following up and bundling home from close range.
Mane could’ve redeemed himself with an equaliser 20 minutes from time but Howard stuck a leg out to send his shot wide.
United should have doubled their lead five minutes from time after Jamie Murphy robbed Jose Fonte, but his shot was parried by Forster before Gardos blocked debutant Che Adams’ follow-up.
When referee Michael Oliver sent Gardos off it was the culmination of a miserable night up north for Southampton and the defeat will also be felt outside of the Capital One Cup. Gardos’ dismissal and yellow cards for Schneiderlin and Victor Wanyama mean all three players miss the visit of Everton on Saturday afternoon through suspension.
Sheffield United: Howard (7), Harris (7), Basham (7), Flynn (6), Doyle (7), Murphy (7), McNulty (8), McEveley (7), Campbell-Ryce (6), Reed (7), Cuvelier (6).
Subs: Adams (7), Wallace (6), Baxter (7).
Southampton: Forster (5), Clyne (6), Fonte (5), Gardos (5), Targett (6), Wanyama (6), Schneiderlin (6), Ward-Prowse (7), Bertrand (6), Mane (5), Long (6)
Subs: Aiderweild (6), Isgrove (5), Muyuka (5)
Man of the Match: Marc McNulty