The former Sydney FC teammates clashed for the first time in the match at Shanghai’s Hongkou Stadium with the home side saluting 2-1.
Shanghai went ahead in the 58th minute through Du Wei before going ahead 2-0 two minutes thanks to Belarus striker Vyatcheslav Hleb.
Milligan supplied the cross for Hleb who evaded the offside trap and slotted it calmly past Blades keeper Lan Yi.
Chengdu got one back in injury time through Zhang Yuan.
The win pushed Shanghai to fourth on the table whilst Chengdu sit in 14th.