Wednesday were left stunned by a late blitz from Colchester, who scored all three goals in the last five minutes.
Craig Fagan slotted home from three yards before a long-range effort from Sam Stockley and a spectacular Joe Keith free-kick sealed the U's win.
Colchester had already threatened when Wayne Andrews and Greg Halford both tested Owls keeper David Lucas.
Wednesday went close when Lee Peacock saw his shot cleared off the line, but the home side capitulated late on.
Sheff Wed: Lucas, Bullen, Heckingbottom, Lee (Branston 59),
Collins, McGovern, McMahon (Hamshaw 66), Marsden, Brunt,
Proudlock (Peacock 60), MacLean.
Subs Not Used: Tidman, Ndumbu-Nsungu.
Colchester: Davison, Halford, Chilvers, Stockley, Brown,
Watson, Johnson (Cade 72), Bowry, Keith, Andrews (May 72),
Subs Not Used: Baldwin, Gerken, White.
Booked: Fagan, Brown.
Goals: Fagan 85, Stockley 89, Keith 90.
Referee: P Taylor (Hertfordshire).