James Beattie's cruel stoppage-time winner left West Ham stranded at the bottom of the Premiership as the Eastenders paid the ultimate price for their wasteful finishing against the Saints.
Roared on by a patient Upton Park crowd still awaiting its first home win of the season, the hard-working Hammers eventually left the field amid angry calls for chairman Terry Brown's head.
"We missed some nailed on chances and it should have been all over by half time," exclaimed Glenn Roeder who insisted that he has no intention of throwing in the towel. "We're frustrated and angry with ourselves but this wasn't going to happen for us tonight. Half a dozen players ran themselves into the ground for me tonight and while they do that we've got a chance to turn it around. We're in a big hole but I'll fight on because I don't know any other way." Delayed in heavy traffic, Southampton had not arrived until 30 minutes before kick-off and the Saints were stuck in their own half in a totally one-sided first period.
Indeed, Jermain Defoe, man of the match Michael Carrick and Trevor Sinclair each went close inside the opening 15 minutes.
But without Frederic Kanoute it was Glenn Roeder's surprise stand-in striker Ian Pearce who came closest when Antti Niemi brilliantly foiled his point-blank shot ten minutes before the break.
Certainly, had Beattie or Rory Delap converted the chances that came their way just before the interval, it would have been an injustice on a workaholic West Ham side that had clearly been given a telling pre-match wake-up call by the under-fire Roeder.
It was the same story in the second half too as Defoe and Pearce remained a constant thorn in Southampton's side.
But the longer it went on the more the Hammers looked likely to pay for failing to take their earlier chances and when the red-faced David James recovered after being tackled by Delap, Southampton then showed wobbly West Ham how to finish in the dying seconds.
This time, substitute Brett Ormerod sent in a left-wing cross which was stabbed home at the near post by Beattie as he sent both sets of fans wild for entirely different reasons.
"West Ham showed a lot of enthusiasm in that first hour," smiled victorious Saints boss Gordon Strachan.
"But our bravery kept us in the game and our ability finally won it."