Two late Rickie Lambert penalties broke Millwall hearts as a gutsy, passionate performance from The Lions yielded no reward with Southampton leaving The Den with all three points.
It was looking like Millwall's home form, poor of late, was about to take a turn for the better as the hosts came from a goal behind to head into half-time 2-1 up courtesy of Jose Fonte's own goal and Paul Robinson's thumping volley.
This was no less than The Lions deserved after a superb response to Lambert's 16th-minute opener, but the game would twist and turn and, ultimately, leave the home side deflated.
The teamsheet provided the first of many talking points as recent loan capture Maik Talyor made his debut between the sticks in place of David Forde who dropped to the bench.
If Taylor was eager to make an early impression on his first Lions appearance, he was beaten to the punch by Lambert, who on nine minutes took aim from 25 yards and cracked a well-struck effort off the crossbar with Taylor a spectator.
But just six minutes later, the division's top scorer was on target again. Southampton moved the ball quickly in midfield and when Morgan Schneiderlin was released down the left, he raced clear of Alan Dunne and squared for Lambert who smashed home into an empty net.
The Millwall support feared another home defeat, but the early goal fired up The Lions and they were level inside seven minutes. Darius Henderson won back possession in midfield and initiated a sweeping move that saw the ball played out to Andy Keogh who had made a clever run out to the right hand side of the penalty box. The in-form Irishman cut in onto his left foot and fired in a shot that struck the near post, bounced out and struck the hapless Fonte, who diverted the ball into the net.
If the home fans enjoyed that, they were euphoric when, six minutes later, Robinson put the hosts in front. James Henry whipped over a corner, Henderson nodded it back across goal, Robinson continued the head tennis to Keogh, who returned the ball to the skipper and he lashed home an unstoppable volley to lift the roof off The Den.
The noise inspired The Lions and Henderson's clever ball released his strike partner Keogh, but the ball caught under his feet and Saints were able to clear the danger. Minutes later, Taylor was alert to the danger as Guly Do Prado was put clear but the on-loan keeper bravely saved at his feet.
A frantic end to an action packed half saw Robinson denied by Kelvin Davis as he did brilliantly to head another fine Henry corner on target, and then Keogh did brilliantly to track back deep into his own half to stop Lambert capitalising on the counter-attack.
Saints, as expected, renewed their efforts for a leveller after the break and inside the first minute of the second period could have scored. Jack Smith couldn't quite connect properly with a loose ball and as Southampton countered, Adam Lallana was only denied a certain goal by an incredible piece of defending from Robinson, who somehow managed to read where the highly-rated Saints man was going to place his shot and managed to get his head in the way.
Back came Millwall, knowing full well that a third goal might just seal victory, but Henderson nodded straight at Davis and Hamer Bouazza was denied by the Saints keeper after being released by a terrific pass from Henry. That save from the Algerian yielded three corners in quick succession and the third saw Henderson's powerful header hacked off the line by the visiting defence.
On came Billy Sharp for Southampton but it was another substitute, Steve de Ridder, who was only denied a clear sight of goal by a brilliant recovery tackle from Jack Smith.
But Saints were handed a great chance to level when referee Graham awarded a contentious penalty for Robinson's foul on Lambert, and the striker dusted himself down and fired past Taylor.
He repeated the feat just three minutes later, Alan Dunne adjudged to have handled the ball from a corner and Lambert completed his hat-trick, firing past Taylor to leave Millwall deflated.
Millwall: Taylor, Dunne, Robinson, Ward, Smith, Henry, Abdou, Wright, Bouazza (Feeney, 90mins), Henderson (Kane, 77mins), Keogh. Subs not used: Forde, Craig, Barron.
Bookings: Kane (87mins), Henry (88mins)
Scorers: (Fonte, 23mins og), Robinson (28mins)
Southampton: Davis, Richardson, Fox, Fonte, Hooiveld, Hammond (Sharp, 63mins), Schneiderlin, Lallana (Cork, 90+1min), Chaplow (De Ridder, 46mins), Lambert, Guly. Subs not used: Harding, Martin.
Scorers: Lambert (16, 85mins pen, 88mins pen)
Ref: F. Graham
Att: 12,144 (away 2,395)