The Blades, who failed to take advantage of a spirited start, had a goal ruled out through VAR after Ollie McBurnie hit the back of the net seven minutes following the restart.
Djenepo then gave Saints a 1-0 lead on 66 minutes when he broke through the defence before curling an effort past the goalkeeper.
John Fleck would beat Angus Gunn and the upright with an attempt before David McGoldrick failed to convert a free chance in the box nearing full-time.
Former Saints man Billy Sharp lasted just 20 minutes after his introduction, picking up a straight red card for a challenge on Stuart Armstrong on 85 minutes.
Sheffield United: Henderson, O’Connell, Egan, Basham (Robinson 84), Stevens, Norwoord, Baldock, Fleck, Lundstram (Mousset 72), McBurnie (Sharp 65), McGoldrick.
Unused subs: Moore (GK), Freeman, Osborn, Besic.
Bookings: Fleck (65), Sharp (RED 85).
Southampton: Gunn, Cedric, Vestergaard, Bednarek, Yoshida, Hojbjerg, Romeu, Ward-Prowse, Boufal (Armstrong 85), Djenepo (Ings 74), Adams (Long 90+2).
Unused subs: McCarthy (GK), Stephens, Bertrand, Valery.
Goals: Djenepo (66).
Bookings: Vestergaard (51).