The U’s were admittedly much better than in their tame 2-0 loss at Queens Park Rangers on Wednesday night, but were again ruthlessly exposed.
Greg Leigh had given United the lead, but a little over 10 minutes after going in front, Josh Windass levelled the game.
Second half goals from Jamal Lowe and Djeidi Gassama put the Owls in control, and the U’s were unable to mount a comeback on home soil.
Des Buckingham changed his entire front three in the aftermath of the QPR defeat, as wide duo Matt Phillips and Przemyslaw Placheta, plus Mark Harris, all dropped to the bench.
Owen Dale and Dane Scarlett were restored to the forward line, while Ruben Rodrigues came into midfield, pushing Tyler Goodrham onto the right wing.
The U’s seemed to put their timid midweek performance behind them with a much more energetic and front-footed first 45 minutes.
Scarlett had an early effort on target when he received possession to the left of centre and came infield before testing former United loanee James Beadle at his near post with a 20-yard strike.
At the other end, Michael Smith had the ball in the back of the net, but the flag was straight up for offside after he took control of a pass down the left channel.
Just after the quarter of an hour mark, Rodrigues played the ball into Scarlett, who lost his footing but recovered to see a strike deflect off Di’Shon Bernard and behind for a corner.
Tyler Goodrham swung in the set piece, with the Owls clearing it as far as Cameron Brannagan out to the right.
The midfielder clipped a delicate left-footed pass into the penalty box, with Elliott Moore heading the ball into the six-yard box, where Leigh slid in amid offside calls led by Beadle.
Smith then headed over at the back post from a deep free kick, while an Idris El Mizouni volley from the edge of the area forced Beadle into a good save.
Beadle then almost had a howler when he came off his line for the ball, however completely missed it.
The angle was against Scarlett down the left channel of the box, and his shot was deflected out for a corner which came to nothing.
The Owls levelled matters a couple of minutes later when a Shea Charles corner was swung in and a seemingly unmarked Windass had the simple task of prodding in.
Beadle was again called into action though after Rodrigues played a wonderful arrowed pass through for the run of Dale down the left-hand side.
The winger came inside onto his right foot and forced Beadle into a smart stop at his near post.
Jamie Cumming showed his worth to the U’s in the battle of the goalkeepers, tipping away a Jamal Lowe header from an Owls corner nine minutes before the break.
Smith had an opportunity to put the Owls in front with three minutes left in the first half, but he was unable to stretch enough to make contact with Marvin Johnson’s teasing left wing cross.
The Owls needed just four minutes of the second period to nudge in front. United failed to clear their lines and a ricochet inside the box fell kindly for Jamal Lowe, who stabbed in from eight yards out.
That advantage was increased to two goals just after the hour mark, when Gassama saw his first-time volley arrowed into the bottom corner from 20 yards out.
Dale had a fantastic opportunity to drag the U’s back into the game with 25 minutes to go, as Brannagan picked the winger out with an excellent crossfield pass.
However, Dale’s touch was heavy and allowed a defender to get in front of him and block the effort.
Buckingham’s first changes came in the form of a triple substitution, as Will Vaulks, Phillips and Harris replaced El Mizouni, Rodrigues and Dale.
It saw United go to what was effectively a 4-4-2 formation with Goodrham and Phillips wide, and Harris partnering Scarlett up front.
Cumming had to be alert though when he made a double save from Owls substitutes Svante Ingelsson and Pol Valentin with just over quarter of an hour to go.
Kyle Edwards replaced Goodrham for the final 10 minutes, but United were unable to create the spark required to get back into the game.
Oxford United (4-3-3): Cumming; Kioso, Moore, Brown, Leigh; Rodrigues (Harris 72), Brannagan, El Mizouni (Vaulks 72); Goodrham (Edwards 80), Scarlett, Dale (Phillips 72).
Unused subs: Ingram, Long, ter Avest, McEachran, Placheta.
Booked: None.
Sheffield Wednesday (4-2-3-1): Beadle; Valery (Iorfa 73), Bernard, M Lowe, Johnson; S Charles, Bannan; Windass (Musaba 58), J Lowe (Valentin 58), Gassama (Ingelsson 73); Smith (Ugbo 88).
Unused subs: P Charles, Palmer, Chalobah, McNeill.
Booked: Gassama.
Referee: Stephen Martin (Staffordshire)
Attendance: 11,567 (TBC visitors)