Gillespie signed for Sheffield United on 5 August 2005, signing a one-year contract. This was then extended to June 2007 a month later. In his first season at the club, Gillespie played a role in Sheffield United's successful promotion campaign to the Premier League. Gillespie's most memorable goal for Sheffield United came against Charlton, where he scored the winner in the 88th minute with a stunning volley from 25 yards. This goal was also a nominee for the December "Goal of the Month" competition, which Paul Scholes eventually won.