The Blades were held 2-2 by Colchester, big-money signing James Beattie giving the Bramall Lane hosts the lead midway through the second half with a debut goal - but within 30 seconds, the Us were level.
Mark Yeates crossed from the right and Kevin McLeod found the net.
Bryan Robson's side restored their lead through Michael Tonge in the 82nd minute but the visitors fought back again as new signing from MK Dons Clive Platt scored from close range with a minute to go.
It was an even worse opening day for the Blades' city rivals Sheffield Wednesday, who lost 4-1 at Ipswich.
The Owls were a goal down in the second minute when Alan Lee converted a penalty after a foul by Lee Bullen on Pablo Counago. Gary Roberts volleyed in a second nine minutes later and Lee added his second and Town's third in the 25th minute.
Counago scored a fourth on the hour before Leon Clarke's late consolation for Brian Laws' side.
Laws' old club Scunthorpe marked their return to the second tier with a 1-1 draw away to Charlton.
Marcus Bent scored in the 62nd minute for the Addicks but Scunthorpe secured a draw through defender Izzy Iriekpen, their summer signing from Swansea.
Southampton, one of the favourites for promotion, suffered a shock 4-1 home defeat to Crystal Palace.
James Scowcroft scored a hat-trick for the Eagles, hitting a quickfire brace (30 and 31) before Marek Saganowski's scrambled effort gave Saints hope on the stroke of half-time.
Scowcroft completed his treble 10 minutes into the second half and Clinton Morrison added a fourth two minutes later.
Coventry, under former Palace boss Iain Dowie, were also 4-1 winners at Barnsley.
Leon McKenzie gave the Sky Blues a sixth-minute lead but Brian Howard's penalty three minutes later levelled the scores.
Kevin Kyle headed City back in front (50) from Jay Tabb's cross and new boy Julian Gray added a third 15 minutes later.
Maltese striker Michael Mifsud wrapped up the scoring in injury time.
Leicester began the Martin Allen era with a 1-0 defeat to newly-promoted Blackpool, led by former Foxes defender Simon Grayson.
The only goal came in the 63rd minute from Keith Southern to give the Seasiders a winning start in the east midlands.
West Brom failed to live up to their pre-season billing with a 2-1 defeat at Burnley.
The Baggies led through Kevin Phillips' 18th-minute effort but Michael Duff's header pulled Burnley level (47).
Steve Cotterill's side got the winner when handball was given against Neil Clement in the 79th minute and Andy Gray stroked in the penalty.
Cardiff also succumbed to defeat, 1-0 at home to Stoke, as Ryan Shawcross got the only goal in the 27th minute, Steven MacLean missing a late penalty for the Bluebirds.
Newly-promoted Bristol City were seconds away from victory but had to settle for a 2-2 draw at home to QPR.
Lee Johnson (25) put the Robins ahead but Rangers hit back immediately through Dexter Blackstock.
Scott Murray's excellent effort in the final seconds of normal time looked decisive but John Gregory's men again hit back as Damion Stewart headed home in injury time.
Hull lost 3-2 in a dramatic match against Plymouth Argyle at the KC Stadium, Dean Windass putting the hosts ahead in the third minute but Argyle fighting back to lead 2-1 at the break through David Norris (15) and Rory Fallon (45).
Hull drew level through Dean Marney (49) but a terrific strike from Sylvan Ebanks-Blake nine minutes from time proved the winner.
Preston, whose late slump saw them miss out on last season's play-offs, started with a goalless draw against Norwich at Deepdale.
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