The quarter final thriller looked to be heading for extra-time after United defender Robert Page scored an 82nd minute own goal to cancel out Carl Asaba’s first-half goal.
But two minutes later United manager Neil Warnock brought on Peschisolido who became the last ditch hero.
Peschisolido glanced in a header from Peter Ndlovu’s cross after 85 minutes to beat Alex Kolinko.
And three minutes later United caught Palace on the break and Peschisolido seized on an awkward bobbling ball and flick it past Kolinko.
Palace fan Asaba plundered his ninth goal of the season to give Neil Warnock’s first division high-flyers a 35th minute lead.
Asaba was hovering in the six-yard box to volley home from close in after Phil Jagielka headed down an in-swinging corner from Michael Tonge.
But United who beat Premiership sides Leeds and Sunderland to reach the quarter finals for the first time in thirty years had to defy a second half onslaught from the injury ravaged Londoners.
After the break United were pinned back as Palace responded to the first half setback with an impressive start to the second half.
Andy Johnson twice threatened to produce a leveller. Six minutes after the restart he burst down the right and rifled an angled shot but Paddy Kenny did well producing a diving save.
And four minutes later when Johnson worked his way in from the left he threaded a low shot through a crowd by Kenny made another good stop.
Ndlovu twice eased the pressure on the home side as he hit Palace on the break. First he tumbled under a challenge out of the area by Kolinko and then he hit a 20 yard shot that hit a Palace defender and deflected out.
And Michael Tonge picked up a quick corner twisted and turned into the box but his angle effort ricocheted wide.
But in the 82 minute United were stunned when a cross from Tommy Black trickled over the line out of KennyÂ’s reach after bouncing off Robert Page.
It set the stage for Peschisolido to grab the glory and continue the money-spinning cup run.