Willian Jose’s goal was enough to send United down following a 1-0 defeat at Wolves.
With six games remaining rock-bottom United have suffered the joint-earliest relegation in Premier League history, alongside Ipswich, Derby and Huddersfield.
The Blades have lost 26 of their 32 games, having finished ninth last term, with their two-year stay in the Premier League after a remarkable rise up two divisions in three years under Chris Wilder now officially over.
They rarely looked like earning a stay of execution, although Enda Stevens was denied by Rui Patricio.
Mid-table Wolves also struggled to find serious momentum in a forgettable game but Oliver Norwood did head Willy Boly’s fortunate first-half effort off the line.
Newcastle’s late win over West Ham earlier in the day left United needing to avoid defeat to delay their inevitable return to the second tier.
Heckingbottom has been in charge since Wilder left in March, while chairman Prince Musaad Bin Khalid Al Saud resigned for personal reasons on Friday and the interim manager knows planning is vital.
He said: “That’s what you want as a club, the direction comes from above and then everyone falls into line after that. Those decisions are really important. Discussions and decisions are being made and that clarity is important.
“There will be people knocking the door down to be the man to bring Sheffield United back.
“Promotion has to be the goal for the club. The journey, of four or five years, started at the bottom end of League One. We are now starting from a better position, financially stronger and with much more experience in the squad. Everyone will be committed to going straight back up. It’s everyone’s careers at stake, personal pride. They have to take control of their own performances. The fight and spirit is there, we have just been short.
“There has been a lot of hurt in the dressing room for a long time because there have been a lot of games like that this season. It encapsulates the season.”
Oliver Norwood and the crossbar denied Wolves a first-half opener when John Egan’s clearance hit Willy Boly and nearly looped in.
Rayan Ait-Nouri then avoided punishment for a reckless tackle on Rhian Brewster nine minutes before the break.
Uninspiring Wolves grabbed the winner after 59 minutes when Nelson Semedo blocked Enda Stevens’ drive and the hosts immediately broke.
Adama Traore glided past Egan to cross for Real Sociedad loanee Jose to score his first goal for the club from six yards.
There was no way back for United and while Rui Patricio denied Stevens, Aaron Ramsdale stopped Romain Saiss making it 2-0 late on.