A ground that holds painful memories provided more agony after Bruno Fernandes saw his second-half penalty saved, as the Reds came close to salvaging something from the trip to west London.
United had slipped two goals behind inside the first 20 minutes, Igor Thiago scoring them both.
Benjamin Sesko's first for the club halved the deficit and looked like sparking a recovery, but Fernandes missed from the spot after Nathan Collins pulled back the returning Bryan Mbeumo, and Matthias Jensen produced the match-settling third in added time.
FIRST HALF - SESKO DELIVERS A LIFELINE
Brentford have scored first in five of their six matches so far this season, so it wasn’t the greatest surprise when they broke the deadlock.