The Blades astonished the Foxes with three goals in the last ten minutes to place United firmly in number one spot on day one.
However Leicester will be ruling this loss, despite looking impressive they thought they had claimed at least a point when striker David Connolly cancelled out Andy Gray's first half spot kick five minutes after the restart.
But United covered and went ahead in 81st minute when Steve Kabba polished off the spot kick whilst Paul Iffil secured the win with a fine header three minutes later. Leigh Bromby added in the last minute when he bundled home Ifill's cross.
United might have won on the first day of the new 2005/06 season but boss Neil Warnock is still expected to deliver in what is probably his last season as a Blades manager. Having being relegated from the FA Premier League in 1994 the Blades are now the longest surviving member in the Championship.
Throughout the game the Foxes matched United's presence strength by strength but somehow failed to hit the target on the times that it mattered.
Both sides allowed some of their new summer signings to make there full competitive debuts, Neil Warnock named Danny Webber, Lilian Nalis and Paul Ifill in his starting line-up whilst Keith Gillespie later entered the field as a substitute. Graig Levein handed debuts to Rab Douglas, Nils-Eric Johansson and Momo Sylla.
Early doors of the match it was Sylla who caught the eye, within two minutes he was able to get on the wing and run quite a distance before his cross just missed Connolly's head.
United began to step up a gear and make some improvement shortly after Connolly tested Paddy Kenny from all of 35 yards. Then on 17 minutes the Blades wasted an opportunity to take the lead when Leigh Bromby, on the edge of the box rifled over the bar when a low shot might have found the net.
The visitors though remained a threat, and after 23 minutes former Blackburn and Leeds winger Jason Wilcox saw his shot drift agonizingly wide infront of the Shoreham Street Kop.
Never the less the Foxes were comfortable with their performance, at this point if one team was to win the game then it wouldn't be the Blades. But, on 34 minutes United broke them down when Nick Montgomery lofted a cool ball for Ifill to chase, his persistence got the better of him when keeper Rab Douglas brought him down.
Referee Lee Mason (Lancashire) had no choice but to point to the spot, Andy Gray stepped up and despite diving the right way GRAY celebrated his goal having slotted it to his right hand side.
Half-Time: Sheffield United 1-0 Leicester City
No changes were made for either side after the break but United were soon forced to re-think their tactics five minutes later when David Connolly found a leveler.
Joey Gudjonsson found the Irish International on the edge of the box, and after side stepping Harley CONNOLLY fired low which zipped past keeper Kenny after taking a deflection.
Now in full control with Connolly, de Vires and Gudjonsson all producing fine performances the Foxes could have gone 2-1 after 63 minutes when once Blades target Mark de Vires fired straight at Paddy Kenny at close range.
However it was the Cutlers that would eventually win the game, netting three goals with nine minutes to go. Nils-Eric Johansson was having a sound game but soon turned to devistation when he controlled the ball with his hand in the penalty area, and once again Mr. Mason pointed to the spot.
Andy Gray had already been substituted by Steve Kabba and the sub took no time in putting United head when KABBA sent Douglas the wrong way despite choosing the same low corner as Gray to slot home.
This performance was not brilliant, the fans would have been happy with a 2-1 win but there was more to come two minutes, substitute Keith Gillespie lofted in a beautiful cross for IFILL to beat his maker and head past the former Glasgow Celtic keeper.
And, in the last minute, goal scorer turned provider when the impressive Paul Ifill crossed on the left-wing for defender LEIGH BROMBY to guide the ball home via his chest past the stranded Rab Douglas.
Full-Time: Sheffield United 4-1 Leicester City