A first-half goal from Grimsby striker Anthony Elding inflicted a first home defeat since August on Cambridge.
The hosts had the game's first chance, when they struck the post through Adam Marriott's shot from an angle.
Grimsby were awarded a penalty for a tackle on Liam Hearn by referee Richard Wigglesworth but he overturned it after consulting with his assistant.
Elding scored the only goal of the game 24 minutes in, sidefooting home from 12 yards out.
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Cambridge United manager Jez George told BBC Radio Cambridgeshire:
"They're a good side and we were a little bit depleted and it looked like that at times in the game.
"They had a little bit too much in terms of experience and strength in certain positions.
"We were resilient. We came through a bad spell at the start of the second half. Rossi Jarvis has tidied us up a bit but that bit of quality was missing at times."
Grimsby Town joint manager Rob Scott told BBC Radio Humberside:
"I thought it was a thoroughly professional performance coming away from home against a team that is above us and people keep telling us we can't beat the teams above us.
"You can only beat who is in front of you and what we've done today is won it in a professional manner and at times I thought some of the football was excellent.
"Some of the one touch passing around the penalty area was excellent and I think that would grace any game."