The in-form Essex side clinched their sixth home victory on the trot thanks to an early goal from Kevin McLeod and an injury-time killer blow from Jamie Cureton.
This all added up to a dismal afternoon for Saints boss Burley, who had walked out of the Colchester job just seven months after his appointment in 1994.
Burley went on to manage East Anglian rivals Ipswich Town, which angered the Layer Road club, and so it was not surprising that he received a good deal of stick on what was his first return as an opposing manager.
Colchester are surprising a lot of people this season, their first ever in the Championship, and they again started brightly on home turf.
They took the lead after just three minutes with winger McLeod crowning his first start with a goal.
McLeod was only in the side due to Richard Garcia's suspension, but he took full advantage when ghosting in at the far post to head home Cureton's excellent cross.
Signed from Swansea in August, McLeod had other chances to score as the U's dominated the first period.
Southampton goalkeeper Kelvin Davis pulled off several good saves, including one from McLeod and the same player drilled another instinctive shot narrowly wide.
Burley made changes at the start of the second half, and his side finally responded with a terrific late rally. Only a combination of poor finishing and some bad luck cost them the chance of an equaliser.
United's experienced goalkeeper Aidan Davison pulled off several fine saves, including a great block to keep out a goal-bound header from Kenwyne Jones at point-blank range.
Visiting substitutes Rudi Skacel and Mario Licka peppered the target with fierce shots and Southampton were cursing their luck when they had strong appeals for a penalty turned down in the 83rd minute. U's right-back Greg Halford appeared to shove Jones in the back, but referee Mr Whitestone was not convinced.
To rub salt into the wounds, Colchester doubled their lead in the second minute of injury-time.
Halford relieved the pressure with a long ball forward, which Cureton chased and then finished off in style by smashing a shot beyond Davis.
It was Cureton's sixth goal of the season, and it certainly sealed the fate of Southampton and their beleaguered manager Burley.