It took the Saints 44 minutes to break down their League One hosts but then goals from Dexter Blackstock and debutant Nathan Dyer just before the break set them on their way, before Brett Ormerod settled the match a minute before time.
Former Southampton trainee Darryl Flahavan had a night to forget against his old club as he twice spilled the ball to gift the visitors their opening goals.
Southampton's first goal came after 44 minutes when Yoann Folly's corner was headed goalwards by another debutant, Matthew Mills. Flahavan blocked the effort but the loose ball fell to Blackstock who fired into the empty net.
The Shrimpers nearly replied a minute later when Shaun Goater was denied by Paul Smith in the Saints goal from close range.
But seconds later the visitors doubled their advantage courtesy of Flahavan's second error.
David Prutton crossed from the right and Flahavan collected the ball, but in the wet conditions he spilled it again and watched as Dyer hit the back of the net.
Saints had earlier tested Flahavan through Blackstock, Rory Delap and Folly but found their hosts able to snuff out most of the treat.
Some good play saw the Shrimpers threatening from the wings, but they had to wait until 22 minutes before Adam Barrett tested Smith with a header.
The second half was predictably an anti-climax as Harry Redknapp's Championship visitors defended their lead. But they still pressed for another goal which saw Flahavan redeem himself with a one-handed save to deny Blackstock a second goal.
The Shrimpers struggled to make an impression on goal, with only a tame Che Wilson effort to show for their troubles.
Steve Tilson pepped up his side's attack by introducing Freddy Eastwood and Mark Bentley into the fray.
Bentley shot over on 67 minutes from 30 yards but despite some good pressure that forced two corners, there was little threat to worry Smith until ten minutes from the final whistle.
A corner from Blues skipper Kevin Maher was headed goalwards by Spencer Prior with Smith turning the effort over his crossbar.
But that was as good as it got for the hosts as Delap's shot from 25 yards deflected off substitute Ormerod and into the Southend net.