Morgan signed for First Division club Sheffield United on a free transfer in July 2003. He made his debut in a 0–0 draw with Gillingham at Bramall Lane on 9 August. He was sent off for violent conduct on his seventh appearance for the club, during a 3–1 defeat to Nottingham Forest at the City Ground on 13 September. He scored his first goal for the "Blades" with a volley in a 3–0 FA Cup fourth round win at Nottingham Forest on 25 January 2004. He ended the 2003–04 season with 36 appearances to his name, and added to his goal tally with a header against Bradford City on 20 March. He was voted as United's Player of the Year for 2004 and following the departure of Rob Page in the summer, Morgan was named as the club's new captain by manager Neil Warnock. He made 47 appearances in the 2004–05 campaign, scoring three goals and receiving two red cards. He was sent off once and scored four goals in 42 games in the 2005–06 season as United secured promotion to the Premier League after finishing as runners-up to Reading. His fourth goal of the season came on the final day of the season as United celebrated promotion with a 1–0 home victory over Crystal Palace.