Neil Warnock always said it was virtually Mission Impossible to reach the play-offs - and this time the master of kidology proved spot on. The Blades needed to win their last match and hope that other results went in their favour.
It was a tall order. The last time the Yorkshiremen won at Preston was nearly 50 years ago, and that was back when a certain Tom Finney and Tommy Docherty graced the Deepdale turf.
Sheffield's form of only two wins in their last nine games tells the story of this season's run-in only too well. True to form, Craig Brown's pepped-up Preston side spoiled any chances of the Blades celebrating another play-off outing and easing the pain of their humiliating defeat in last season's final at the Millennium Stadium.
After a brilliant campaign then, which included two cup semi-finals, they froze and lost to Wolverhampton Wanderers without a whimper. Yesterday they took the lead no less than three times in a pulsating and fascinating game. The trouble was, they lost the lead just as easily, as North End, refusing to lie down, threatened to win the game, pummelling the Sheffield defence in the last 10 minutes.
Poor old Andy Gray. The £60,000 bargain buy from hard-up Bradford City, scored twice to take his tally to nine in 14 appearances. He was only denied his hat-trick by the woodwork and earned praise from Brown, the former Scotland national team manager, who said: "Gray was excellent. I just hope he scores like that when he plays for Scotland in the World Cup qualifiers.''
Warnock was honest in his assessment of the season: "I have to say we weren't quite good enough. It's disappointing but I do feel stitched up by refs over the season. Even so, we should have been up there and it's our fault. We have had games over the last six weeks or so where we should have won. But I am quite proud of them again. They kept going. But over the season the top six are usually the best teams in the league.''
Brown took positives out of his side's display, even though his high hopes of play-off contention were dashed several weeks ago. The Deepdale manager said: "We could have had at least three goals at the end. Overall, the result should have been 8-3 if we'd taken all our chances, but that game summed up our season. It's been like the curate's egg - good and bad. We've scored great goals but conceded goals softly.''
Spurred on by their 3,000 following fans, United took the initiative as Phil Jagielka powerfully headed the ball into the net from a superb cross supplied by Robert Kozluk in the 20th minute.
Minutes later Graham Alexander hauled Preston back with a spectacular 25-yard drive. Then Gray sprang into action to score a goal which came out of nowhere. He took the ball down turned and hooked past keeper Jonathan Gould in one flowing move.
The Northern Ireland international David Healy levelled with a fierce free kick, only for Gray to then control an Alan Wright cross before steering the ball home. Ricardo Fuller then earned a reward for his persistence as he scored his 19th of the season, stooping to head home a Healy cross.
Goals: Jagielka (20) 0-1; Alexander (23) 1-1; Gray (37) 1-2; Healy (54) 2-2; Gray (78) 2-3; Fuller (80) 3-3.
Preston North End (3-4-1-2): Gould; Brooms, Lucketti, Davis; Alexander, Etuhu (McCormack, h-t), McKenna (Koumantarakis, 82), Lewis; Healy; Fuller, Cresswell. Substitutes not used: Lucas (gk), Smith, Jackson.
Sheffield United (4-3-3): Kenny; Kozluk, Page, Morgan, Wright; McCall (Forte 80), Jagielka, Tonge; Gray, Allison, McLeod. Substitutes not used: Shaw, Ndlovu, Rankine, Francis.
Referee: G Laws.
Bookings: Preston: Fuller. Sheffield United: Page, Kozluk, Jagielka.
Man of the match: Gray.