Relegated Boro had the best of the play, but were made to work hard at the back to keep the Blades out.
"We've seen what the Championship is all about," Southgate said. "There are no better exponents of football in this league than Sheffield United.
"They are big, strong, well organised and very direct, but I was pleased at how we stood up to the physical challenge.
"That was a tough start for us, but we didn't shirk the challenge. We've got a clean sheet and a point on the board. We know we need goals, but we are working on that."
Blades boss Kevin Blackwell was also pleased with the performance from his team.
"Boro are a good team and we know they have quality," he said.
"So I was delighted that, with five new players in, we got a performance like that.
"We caused them quite a few problems up front and we were strong defensively. Maybe we could have come away with three points, but I've got to be pleased with one."