Juan Ugarte and Darren Ferguson scored extra-time goals to win the LDV Vans final for Wrexham.
Ugarte deftly guided the ball past Darryl Flahavan after Dennis Lawrence had headed goalwards, while Ferguson slotted home a rebound late-on.
Both teams had wasted earlier chances, with Freddy Eastwood clipping the post for Southend and Mark Bentley twice denied by Wrexham keeper Ben Foster.
Bentley then headed the ball on to his own crossbar and Ugarte hit the post.
Southend tasted final defeat for the second year in succession after losing out to Blackpool last season.
Steve Tilson's side had gone into the contest as the form team, unbeaten in 19 games and pushing for promotion from League One.
But with Wrexham battling against relegation and in the midst of a financial crisis, the victory is welcome relief for the Welsh club's beleaguered fans towards the end of a troubled season.
Matchwinner Ugarte was heavily involved in the opening half and should have laid the ball off to a completely unmarked Chris Llewellyn but chose to shoot himself.
Former Real Sociedad star Ugarte almost ended a rapid Wrexham break with a goal but could not keep his shot on target, while Mark Jones went close from long range.
Prior twice threatened the Dragons' goal, forcing a save from Ben Foster with a header and narrowly missing with a well-struck shot.
Ugarte (left) celebrates scoring for Wrexham
Eastwood brushed the post from 20 yards, while Bentley smashed a free-kick that Foster palmed away.
Bentley threatened again for the Shrimpers after the break, but again Foster was equal to the task.
Wrexham came the nearest to scoring in normal time, hitting the woodwork twice in a matter of seconds after 71 minutes.
Bentley tried to head clear a long ball but only succeeded in looping the ball over his keeper and on to the crossbar.
The ball bounced back into play and Bentley challenged Ugarte for the rebound, with the Wrexham player winning only to see his header hit the post and eventually fall into Flahavan's arms.
Eastwood continued to threaten in extra-time, forcing Foster into another save, but it was Wrexham's Ugarte who broke the deadlock.
Lawrence headed a corner goalwards and Ugarte was on hand close to the goal-line to divert the ball past Flahavan.
Adam Barrett had a great chance to equalise, but headed straight at Foster when completely unmarked eights yards out.
And the decisive second goal came with a minute left, Ferguson pouncing on some hesitant defending after Flahavan could only parry a strike.
Southend: Flahavan, Jupp, Prior, Barrett, Wilson, Pettefer (Guttridge 109), Maher, Bentley, Gower (McCormack 81), Eastwood (Dudfield 103), Gray.
Subs Not Used: Edwards, Holloway.
Booked: Bentley, Jupp, Maher.
Wrexham: Foster, Roberts (Pejic 14), Lawrence, Morgan, Edwards, Ferguson, Crowell (Bennett 105), Mark Jones (Williams 100), Holt, Llewellyn, Ugarte.
Subs Not Used: Sam, Harrison.
Booked: Ferguson, Morgan, Edwards.
Goals: Ugarte 99, Ferguson 118. After Extra Time
Ref: B Curson (Leicestershire).