It all started off well at Stamford Bridge as Tammy Abraham scored twice in the first half to give his side a 2-0 lead going into half-time.
But Callum Robinson scored for the Blades immediately after half-time, increasing the nerves around the Chelsea home ground.
And the newly-promoted side’s comeback was completed in the 89th minute after Chelsea defender Kurt Zouma got the final touch on Robinson’s cross to hand the Blades a huge point on the road.
The result leaves Chelsea with just one win from their opening four Premier League games under Lampard, with the Blues having drawn twice and lost once.
Saturday’s game also continued a worrying trend for Chelsea, who have struggled in the second half of several Premier League matches already this season.
Manchester United scored three times in the second half on the Premier League’s opening day in a 4-0 win, before Leicester pegged Chelsea back in a 1-1 draw at Stamford Bridge two weekends ago.
Lampard acknowledged after Saturday’s game that his side’s second halves need to improve quickly.
“It was under control, it is our fault for gifting them a goal in the first minute of the second half. It’s a similar story already,” Lampard told BBC Sport.
“The game should have been comfortable and we have dropped two points. We want to win games, the emergence of youth is one thing but winning games is another. When you are 2-0 up at half-time you should win the game.
“We had more than enough on the pitch to win that game from 2-0 up. There is no chance that that game should swing like that. We gave them the possibility to hurt us.”
Abraham’s play was a bright spot for Chelsea, with the 21-year-old now having scored a brace in back-to-back games.
“Tammy Abraham is doing well, his all-round game was great and he needs to continue,” Lampard said of the England striker.
Chelsea will return to action after the international break on September 14 when they travel to face Wolves at Molineux.