A handball from Luke Shaw in the final seconds of injury time gave the Hammers a brilliant chance to earn a point in a match that saw Ronaldo continue his excellent start on his second return for the club.
Only the Premier League can produce drama like this.
Said Benrahama gave the home side the lead with a deflected strike mid-way through the first half before Ronaldo, at the second time of asking equalised from a fine Bruno Fernandes pass.
As the Irons looked set to earn a point against the Red Devils, Lingard, after being applauded on by the supporters, broke their hearts.
Cutting in from the left channel, the England international proceeded into the penalty area before unleashing a stunning strike into the top right corner.
Having played such a massive role in helping David Moyes' side secure a place in the Europa League last season, it was a gutting moment for the club and it would only get worse moments later.
Desperately looking for an equaliser West Ham piled the pressure and they managed to crack Man United's rearguard thanks to Andriy Yarmolenko.
With Shaw's hand well away from his body, referee Martin Atkinson, after consulting the VAR screen, awarded the decision to the home side as the mood quickly changed from sadness to delirium.
However, it would change back to the original mood as Noble, who is such a consistent taker for the Hammers, cracked under pressure and failed to convert the penalty.
It was a massive moment though for David De Gea who made his first penalty stop in 40 attempts and after what he went through in last season's Europa League final, he will be overjoyed with that stop.
It was in fact justice for Man United who should have had a penalty themselves. Ronaldo was clearly taken out by right-back Vladimir Coufal but for some reason Atkinson and VAR didn't award the decision.
Despite that, he continued his excellent start to the season since coming back with his third league goal of the season as Manchester United moved onto 13 points, level with Liverpool at the top of the table.