Lions sub Liam Feeney struck a stunning injury-time winner to settle a five-goal thriller and set up an FA Cup Fifth Round home tie with Bolton Wanderers.
The magic of the Cup was alive and kicking on a memorable night for Kenny Jackett's Millwall, who recorded their first ever win at St Mary's - and long awaited first success against The Saints in 11 starts.
Victory was no more than The Lions deserved, having battled back from a 2-1 deficit after Adam Lallana (35mins) and Rickie Lambert (76mins) had cancelled out Liam Trotter's 17th-minute opener for the Londoners.
Dany N'Guessan (79mins) hauled Millwall level at 2-2 with a bullet header and the game looked to be heading towards an energy-sapping 30 minutes of extra-time.
But Feeney, an 83rd-minute replacement for N'Guessan, had other ideas and sent the travelling fans into ecstasy with an unstoppable 20-yarder that flew into the top corner to send Millwall through.
One win doesn't make a season, but the manner in which Jackett's men went about their business really does bode well for the remaining 17 league games.
"It was an excellent game and we scored three very good goals," enthused Jackett.
"At the moment our priority is staying up but I hope that our win tonight can help breed confidence.
After the defeat at West Ham we needed to freshen the team up a bit; lads like Ryan Mason and Josh Wright, who has been waiting for his chance and opportunity. I'm pleased to say that we got a positive response from everyone."
Jackett made wholesale changes with no less than six new faces in the mix following Saturday's league defeat at West Ham United.
Most telling of all was a new frontline of Harry Kane and N'Guessan, who were joined by James Henry in a three-pronged attack supported by a midfield trio of Trotter, Ryan Mason and Josh Wright.
Saints boss Nigel Adkins made changes of his own, but in the opening half it was the new-look Lions who really seemed up for battle against a surprisingly sluggish Saints.
Millwall looked composed in possession, bright and purposeful going forward and dominant for long spells of the first 45 minutes.
Saints keeper Bartosz Bialkowski was called into action after five minutes with a smart save from Henry's inviting delivery and the visitors' crisp passing game made it difficult for the home side to settle.
Millwall's early endeavour was rewarded on 17 minutes when Kane teed up the skipper, who drove into the bottom corner and beyond the keeper's reach for his second goal in successive games.
The Lions had a couple of decent opportunities to double their lead; first when Mason was played clean through by Scott Barron, but drove wide from 16 yards and then on 34 minutes N'Guessan fired into the side netting when Trotter and Kane were crying out for the ball to be pulled back into the six yard box instead.
That miss proved costly as just seconds later Saints broke, and with their first real penetrative attack hauled themselves level courtesy of Lallana's low angled finish.
Lions keeper David Forde produced a fantastic reflex save from Guly Do Prado on 39 minutes whilst his opposite number Bialkowski showed what he could do, tipping over Henry's driven free-kick for a corner.
Southampton caused a couple of anxious moments early in the second half when Tadanari Lee's thumping shot on the turn flew over the bar and then Lallana's free-kick cracked the woodwork before the danger was averted.
Do Prado, who had been booked in the first half for a poor challenge on Mason, was lucky to escape a second yellow card after 50 minutes for a crude tackle on Alan Dunne.
And Saints themselves had a lucky let-off when keeper Bialkowski did well to deny Henry, diving low to his right to parry the winger's goalbound effort and then thwart the impressive Trotter.
Kane then tried his luck from long distance and N'Guessan headed over from Barron's cross as Millwall pressed forward.
But it was sub Lambert, on target in the first game at The Den 10 days ago, who looked to have taken the wind out of Millwall's sails with a clinical low finish 14 minutes from time.
However these inspirational Lions were in no mood to give up, and when N'Guessan rose to meet Henry's delicious right wing cross, Bialkowski was left grasping at thin air as the striker's bullet header flew into the back of the net.
You could sense the belief flowing through the Millwall players; Southampton were there for the taking and that is exactly what happened deep into the third minute of injury time.
A piece of smart thinking by Kane, who worked tirelessly throughout, saw the teenage striker release sub Feeney with a quick free-kick. Feeney did the rest, racing down the left flank, cutting in and letting fly with a stupendous strike that gave the keeper no chance.
Southampton: Bialkowski, Richardson, Martin, Fonte, Harding, De Ridder (Barnard, 77mins), Hammond, Chaplow (Reeves,60mins), Lallana, Do Prado (Lambert, 54mins), Lee. Subs not used: Davis, Jaidi, Ward-Prowse, Stephens.
Booking: Do Prado (42mins)
Scorers: Lallana (35mins), Lambert (76mins)
Millwall: Forde, Dunne, Barron, Wright, Ward, Craig, Mason, Trotter, Kane, N'Guessan (Feeney, 83mins), Henry. Subs not used: Allsop, Hackett, Marquis, Smith, McLaren.
Scorers: Trotter (17mins), N'Guessan (79mins), Feeney (90+2mins)
Ref: D Whitestone