Darius Henderson headed Watford ahead from Paul Devlin's cross and Clarke Carlisle bundled home the Hornets' second from close range.
Tomasz Hajto's own goal, two minutes after coming on as a half-time substitute, put the game beyond doubt.
Nathan Dyer came close to a consolation goal for Saints with an acrobatic overhead kick which struck the bar.
Southampton head coach George Burley:
"The bonus today was the fans - they were absolutely magnificent.
"I got a great reception and they kept with the team from start to finish.
"I think they can see there's a lot of work to be done, and I could see there are a number of things that have got to be worked at."
Watford: Foster, Doyley, Mackay, Carlisle, Chambers, Devlin (Grant 60), Mahon, Spring, McNamee, King, Henderson (Bangura 61). Subs Not Used: Chamberlain, Stewart, DeMerit.
Goals: Henderson 28, Carlisle 40, Hajto 47 og.
Southampton: Smith, Baird, Mills, Delap, Cranie, Dyer, Quashie, Oakley (Hajto 45), Prutton, Walcott, Ormerod (Fuller 72). Subs Not Used: Niemi, McCann, Belmadi.
Ref: R Beeby (Northamptonshire).