Let's be under no illusions, the Red Devils might not be anywhere close to the squads that routinely won trophies and titles in the Ferguson era, but United are still one of the biggest names in world football.
Grimsby's desire curtailed fast start by United
With three shots in the opening 12 minutes at Blundell Park, United had begun the game well enough, albeit none of the attempts found their target.
A boisterous home crowd roared the Mariners on, perhaps sensing that this was the best possible time to be playing their Premier League opponents.
When Charles Vernam put Grimsby ahead on 21 minutes, it was no more than the hosts deserved after rolling up their sleeves and taking the game to United.
That only one tackle had been won by a United defender - Harry Maguire - to that point should've been a clear enough sign that there was something amiss from the backline, but this wasn't addressed.
Tyler Fredricson's two tackles, both lost, were the only other attempts made by United's defenders in the 95 minutes played.
If that weren't a damning enough statistic, the team in its entirety managed just nine tackles all night, Bruno Fernandes' two attempted the most along with Fredricson. That Grimsby managed 19 by comparison should embarrass anyone wearing a United shirt.
Onana's Man United woes continue
Amad Diallo soon got one of his two shots on target away, and Benjamin Sesko also tried his luck, both without success, before Vernam turned provider.
His cross had under-fire keeper, Andre Onana, clutching at thin air, and that allowed former United academy player, Tyrell Warren, to silence the away end with Grimsby's second goal before the half hour.
Two goals from three shots on target should've been another wake-up call for the visitors, and to Ruben Amorim's credit, he marshalled his troops to ensure that the hosts only had one more shot on target in the remainder of the match.
What's galling for the Portuguese is that during the period when Grimsby's two goals were scored, it was actually United that were on top with 66.7% possession of the ball, making their lack of attacking purpose when in control of the game even more evident.
Sesko did everything but score
Sesko's third shot at goal just after United had gone two behind at least showed he was getting in the right positions.
If he had found his shooting boots, the outcome might well have been a different story, but one has to cut the attacker some slack, given he's still getting used to his teammates and Amorim's system.
READ MORE: Ruben Amorim's future in doubt after humiliating Grimsby defeat
There'd be another four United shots as the first half came to a close, indicating that the Mariners weren't home and dry just yet.
With everyone bar Sesko posting a pass completion accuracy of at least 80% or over, there was a rhythm to United's play during the early stages of the second half, due in part to the three substitutions that Amorim made at half-time.
Classy Mbeumo finish gave Red Devils hope
However, a more physical game from the hosts, as might be expected for a League Two side (with respect), was literally and metaphorically knocking the visitors out of their stride.
By the hour mark, the pendulum had swung fully in United's favour.
They'd seen 73% of the ball in the 15 minutes since half-time, and got another five shots away from Fernandes, Matheus Cunha, Amad, Bryan Mbeumo and Ayden Heaven.
Still, they continued on the front foot and after three more shots had been repelled or put wide, Mbeumo finally gave United hope with a classy finish on 74 minutes.
United on top in most aspects
By the end of the match, they'd had 28 shots at goal, four of which came in injury-time alone, with nine on target and one of them being Maguire's header in the 89th minute, which looked to have saved the game for United and Amorim's blushes.
70.3% possession and 457 accurate passes compared to just 145 from Grimsby could at least put a positive spin on things from a United perspective before the penalty shoot-out.
In fact, the only areas where the Premier League outfit were second-best across the game were in those attempted tackles mentioned above, and tackles won (five to Grimsby's 14).
Though he's an acquired taste for many, former United captain-turned-pundit, Roy Keane, has often bemoaned a lack of effort in terms of the physical aspects of the game from recent iterations of the Red Devils.
So, even though United were far superior in all other aspects, that will probably get overlooked in the aftermath of such a seismic defeat.
Cunha and Mbeumo failed from the spot
Grimsby missed one of their five penalties as Onana made up for an earlier mistake by getting a strong hand to Clarke Oduor's effort, leaving Cunha with the simple task of scoring United's fifth spot-kick to send them through.
The tamest of efforts, saved by Christy Pym, took the tie to sudden death, and when fellow new signing, Mbeumo, hit the crossbar with his second penalty of the shoot-out, it was all over. United were out.
READ MORE: Ruben Amorim says sorry to United fans after Carabao Cup exit
Has Amorim hinted at his own departure?
Amorim's post-match comments hinted at a clear disconnect between manager and players, and one can only speculate at this stage if the manager has decided that enough is enough.
Despite the positives that can be taken from the match, his credibility is shot to pieces, and should he walk ahead of or during the international break, it'll be back to the drawing board for Sir Jim Ratcliffe and Co. at the so-called 'Theatre of Dreams'.
