Crewe along with Southampton had been linked with the former Notts County, Oldham Athletic and Grimsby Town keeper and Mildenhall had been shown round Reasheath last month.
It seems that Southend decided to act swiftly because United's number one keeper Darryl Flahavan has yet to pen a new deal offered to him at the end of last season.
Shrimpers boss Steve Tilson told the Southend's official site "We are really pleased that Steve has chosen to come to Southend over some of the other sides that were interested in him.
"He is a nice size for a keeper and he will add a presence in the penalty area at 6' 6"