An own goal, a Frank Lampard brace and a Glen Johnson side-footer brought Claudio Ranieri's men home after a stuttering performance, with plenty of possession but they only secured the win in the last 30 minutes of the match.
A two-goal victory on Wednesday will see Chelsea overcome a 3-1 deficit and a Champions League final berth in Germany on May 26, but they will need to see off the Frenchmen earlier than they did their South Coast opposition.
Chelsea can afford to lose next Saturday at Manchester United and still secure second place in the Premiership, if they defeat Leeds United at Stamford Bridge on the last day of the season.
Chelsea started off brightly with a good early ball by Joe Cole into the box, but it was cleared.
Then came two quick corners for the Blues. Both were easily dealt with by Southampton, playing three at the back.
It was Chelsea pressure all the way but as yet after ten minutes of play, no direct efforts on goal by either team.
This changed on 11 minutes when a Mario Melchiot run into the box saw his pass mishit by Jesper Gronkjaer from 10 yards out. His left-footer screwing well wide.
Carlo Cudicini, back in the side after missing two months easily held a lofted ball, which went up the other end immediately on 13 minutes, only for Eidur Gudjohnsen to blast a 20-yard right-footer inches wide of Antti Niemi's left upright.
Southampton, whenever they got possession, attempted neat one-two touches, but their attacks break down close to the edge of Chelsea's penalty area.
John Terry fouled Kevin Phillips on 17 minutes and up stepped Kevin Beattie who thumped a 30-yarder on target, which bounced in front of Cudicini, who could only parry the ball away for a comer.
The ball was whacked upfield for a one-on-one between Cole and Darren Kenton, which the Southampton defender managed to edge away for a corner.
Gronkjaer teased 17-year-old debutant Martin Cranie on the right and won a corner. From the resultant kick, on 28 minutes, Robert Huth tapped the ball back to Cole on the edge of the area and he brilliantly arrowed a right-footer which Niemi acrobatically tipped over the bar.
Seconds later Melchiot, again ran towards goal and unleashed a low drive which Niemi once again did well to hold.
On 32 minutes, Jimmy Floyd Hasselbaink had a good shout for a penalty when Danny Higginbotham took the heels of the Dutch striker, but referee Paul Durkin gave the free-kick outside the area.
It was all Chelsea pressure as first Cole and then Gudjohnsen had fine efforts on goal. Huth got in on the act when from corner his downward header was held by Niemi.
For once Gronkjaer whipped over an early left-footer from the right wing and Hasselbaink met the ball with his head, but it skidded off the forehead of the striker.
A minute before half-time and again Gronkjaer skins Cranie. His byline cross was headed on towards goal by Gudjohnsen, but was deflected away from goal for a corner.
Remarkably Chelsea coach Ranieri made no changes at half-time.
Within 60 seconds of the restart Hasselbaink found himself clear in the area after Gudjohnsen inched a perfect through ball to him.
But Hasselbaink took too many touches and Kenton dispossessed the striker.
A David Prutton long-range effort failed to bother Cudicini as it sailed into row S of the Shed stand on 49 minutes.
Cole had a half chance two minutes later when a Gronkjaer cross was pulled down by the England midfielder, only to see his chip go over the bar.
All Chelsea pressure, but Southampton were defending admirably.
On 58 minutes an error by John Terry almost let in Kevin Phillips.
His back pass to Cudicini fell short. He let in Phillips who tried to chip the Chelsea 'keeper, thankfully for the Blues Phillips' effort was short.
But seconds later a Chelsea corner from Gronkjaer, wide on the right, saw the unlucky Cranie head the ball into his own goal, arrowing in past the hapless Niemi at his near post after Gudjohnsen put pressure on the ball.
This spurred Southampton boss Paul Sturrock to bring on Fabrice Fernandes for the luckless Cranie on 62 minutes.
Cole's 20-yarder was easily held by Niemi on 64 minutes as Chelsea piled on the pressure.
A brilliant Chelsea attack on 65 minutes should have saw goal number two as Gudjohnsen fed Gronkjaer.
The Dane zipped down the right wing, passed into the box to Hasselbaink who tapped back to Gudjohnsen, but the Icelander's low strike, on target, was well held low by Niemi.
Sturrock made his second substitution on 66 minutes, bringing on Brett Ormerod for Anders Svensson.
Niemi made a brilliant save from Gudjohnsen after excellent set-up play from Gronkjaer on 70 minutes.
Southampton almost equalised on 75 minutes when Melchiot headed weakly back to Cudicini and Ormerod sneaked in to shoot towards goal, but Cudicini was equal to the task, blocking the shot.
Chelsea countered immediately and Hasselbaink fed Lampard, who blistered a left-footer past Niemi to give the Londoners a two-goal cushion.
This prompted a flurry of substitutions, with Chelsea bringing on Johnson for Gronkjaer and Juan Sebastian Veron for Cole. Southampton brought on Fitz Hall for Kenton.
Lampard who had being fairly quiet, got his second of the match on 84 minutes, after firstly setting up Hasselbaink, whose shot was parried by Niemi into the grateful path of the England man, who, ten yards out, tucked the ball away.
Chelsea notched their fourth four minutes later when Gudjohnsen cut the ball back to Johnson who sidefooted the ball into the net with his right foot.
A tame Fernandes volley was all Saints can muster by way of a reply on 90 minutes, but it sailed high and wide over the bar.
Man of the Match - John Terry: It was not only his defensive capabilities that marked him out as the most outstanding player on the pitch, but it was his distribution, notably to the wings to set up many of the Chelsea attacks.