The Midlanders' new No9 struck a first-half hat-trick inside 13 minutes and netted again six minutes after the interval before departing to a standing ovation as Sheffield Wednesday were crushed 4-1 at St Andrews.
"It's a dream come true," he said after collecting the matchball and man-of-the-match champagne. "To get four goals and three points on my debut is massive.
"I had a lot of pressure on my shoulders but, as soon as the first goal went in, I got more confident. You can't beat first-team football so, hopefully, they [United] will let me stay for the season."
Owls boss Dave Jones bemoaned afterwards: "You cannot allow him [Lingard] to get on the ball, turn and run at us."
Federico Macheda was also outstanding at Championship level, bagging a brace for Doncaster Rovers on his full debut. The Italian produced two clinical
Bebe (Pacos de Ferreira)
Angelo Henriquez (Real Zaragoza)
Reece James (Carlisle United)
Jesse Lingard (Birmingham City)
Federico Macheda (Doncaster Rovers)
Davide Petrucci (Royal Antwerp)
Nick Powell (Wigan Athletic)
Ryan Tunnicliffe (Ipswich Town)
Marnick Vermijl (NEC Nijmegen)