Goalkeeper Cameron Dawson saved a first-half penalty as Sheffield Wednesday frustrated their rivals to claim a point at Bramall Lane.
United dominated the derby fixture at Bramall Lane but failed to turn their supremacy into a lead, despite having 19 attempts at goal and 74.6 per cent possession.
McGoldrick had a glorious opportunity to put the hosts ahead in the 15th minute when Morgan Fox clipped Mark Duffy inside the area, referee Andy Madley spotting the contact and pointing to the spot.
However, goalkeeper Cameron Dawson kept Wednesday on level terms with a fin save, diving low to his left to palm McGoldrick’s attempt from 12 yards around the post and out for a corner.
Chris Wilder's side pushed hard but Dawson made sure the visitors secured their first clean sheet of the season when palming away Oliver Norwood's free-kick in the closing seconds of the contest.
The result means United are sandwiched in between Leeds - who retain top spot on goal difference - and Norwich City on 30 points at the summit.
Wednesday, meanwhile, have ended a run of four straight defeats in the league, although they remain 17th.