Manchester United manager Ruben Amorim said his side were "completely lost" during an embarrassing League Cup exit to fourth-tier Grimsby on Wednesday that heaped more pressure on the Portuguese coach.

League Two side Grimsby won a marathon penalty shootout 12-11 after a 2-2 draw.

After a woeful first half United trailed 2-0 to goals from Charles Vernam and Tyrell Warren.

Bryan Mbeumo had sparked a late rally from the Red Devils with his first goal for the club before Harry Maguire's header forced a shootout.

But after Matheus Cunha missed the chance to win the tie, Mbeumo hit the bar with the decisive spot-kick.

"I think the best team won, the only team that was on the pitch," said Amorim in a scathing critique of his squad. "One team can win against any group of players. The way we start the game without any intensity. We were completely lost and that's why I think they (the players) spoke really loud."

Amorim was already facing scrutiny after a winless start to United's Premier League season.

The 20-time English champions finished 15th last season in their worst league campaign since being relegated in 1974.

Now one of their only two realistic shots at a trophy this season has disappeared in one of the worst results in the club's history. (AFP)