Former Wednesday midfielder Alan Quinn scored the only goal of the game and the Blades will have considered themselves unlucky not to have gone in by more at the break.
But the away side grew in confidence in the second half and showed a spirit which gave them a standing ovation off the field, despite the obvious disappointment of losing the derby clash.
Sturrock said: "As the game unfolded I was pleased with their performance. It would have been very easy for some of those young ones to capitulate after that first 20 minutes but they were still there at the end.
"We're trying to develop a team over six months, whereas they've been developing their team over six years."
Wednesday will also play Charlton Athletic in the third round of the FA Cup after the draw was made yesterday.