Steve Tilson's side are rooted to the bottom of the Championship table but experienced a night they will never forget.
Freddy Eastwood was the hero of the night as his first-half free-kick proved the difference between the sides.
United may have brought their big guns like Wayne Rooney and Cristiano Ronaldo out for this match, but the Shrimpers were not in awe.
Bottom of the Championship and without a league win since August, they were more than equal to everything the Premiership leaders had to throw at them.
And on 27 minutes came the moment which would have left Tilson pinching himself.
Top-scorer Eastwood lined up a free-kick 25-yards out and curled an unstoppable shot past a despairing Tomasz Kuszczak.
It was a goal which took the roof off tiny Roots Hall – but it sparked United into instant action.
David Jones hit the post straight after and on 39 minutes Ronaldo forced Darryl Flahavan into a spectacular flying save with a 20-yard strike.
But Southend had no intention of sitting back and defending their slim lead and created just as much as their more illustrious opponents.
The impressive Jamal Campbell-Ryce sent Eastwood clear of the defence on 37 minutes but Kuszczak got to the ball in the nick of time.
However, United finished the first half strongest with Kieran Richardson and Ronaldo wasting chances just before the break.
Portuguese star Ronaldo was determined to make up for missed opportunities in the second half's opening stages.
He first hit a well-struck volley just wide on 49 minutes and sparked Flahavan into action for a second time two minutes later.
And Ronaldo could not believe his eyes on 59 minutes when the heroic goalkeeper stopped one of his trademark dipping free-kicks.
Wes Brown wasted a chance with a weak header from the resulting corner but it was all United at this stage.
The best Southend could create was a 53rd minute goalmouth scramble following a Steven Hammell corner.
With time running out for the Premiership leaders, Gabriel Heinze had Southend's hearts in their mouths when he sent a shot just wide on 83 minutes.
But the Shrimpers were unflappable and even had chances of their own through Eastwood and Efe Sodje before the final whistle sparked jubilant scenes on an unforgettable night.