Heckingbottom was hired to help revive the Whites' promotion bid, but the team have suffered a setback as Billy Sharp scored twice to give the Blades all three points.
Leeds were stung in the first two minutes when Sharp found the back of the net, but they managed to respond just after the half-time break through Pierre-Michel Lasogga.
The visitors were unable to build on their momentum, though, as Sharp found the winner in the 73rd minute by scoring from the penalty spot.
The result was made even worse for Leeds due to the fact that their former player has now scored seven in his last six starts against the Whites.
For the majority of the first half, Sheffield United controlled the game, largely thanks to the team's early goal, which began with Mark Duffy's cross.
Leeds suffered a blow when Kemar Roofe was forced off with suspected concussion following a collision with Chris Basham, but they seemed close to equalising thanks to his replacement Pablo Hernandez, whose free kick found Pontus Jansson, only for the defender's goal-bound header to be saved.
Hernandez was involved again after the break as his cross found Lasogga, who managed to get his header past Jamal Blackman, dragging Leeds back into the game.
As the minutes ticked by, the visitors were heading for a point, but the Owls had other ideas as John Fleck went to ground in the area following a trip from O'Kane.
The referee pointed to the spot, and Sharp converted, moving his club two points adrift of the playoff places while Leeds remain seven points back.
SHEFF UNITED (3-5-2): Blackman; Basham, Stearman, O'Connell; Baldock, Evans (Lundstram 88'), Duffy (Leonard 77'), Fleck (Holmes 90'), Stevens; Clarke, Sharp
LEEDS UNITED (4-3-3): Wiedwald; Dallas, Jansson, Pennington, De Bock; Forshaw, O'Kane, Philips (Ekuban 78'); Alioski (Sacko 75'), Lasogga, Roofe (Hernandez 45')