Hull fans called for manager Phil Parkinson's sacking after this defeat.
Grzegorz Rasiak's 19th-minute tap-in and Gareth Bale's outstanding 22-yard free-kick put Southampton in control.
But Nick Barmby scrambled in a 43rd-minute goal to revive Hull's hopes and Craig Fagan capitalised on Kenwyne Jones' poor back-pass to make it 2-2.
But with 15 minutes to go Rasiak's well-worked second goal restored Saints' lead and substitute Bradley Wright-Phillips slid in for the fourth.
Hull boss Phil Parkinson:
"Our response to the second goal was tremendous and the attitude was top-drawer. But defensively, you always felt we were at full stretch.
"With strikers of that quality you could get punished. We are too easy to score against.
"We got punished for a lack of concentration. To concede nine goals in a week is not good enough."
Southampton boss George Burley:
"I was pleased to win the game. We've scored 13 goals in the last four games now and that's tremendous.
"We had virtually total command in the fiorst half but lost a bit of concentration and that lifted them.
"It was important to settle as I felt we could score more goals. We are on a decent run and we battled well. There is work to do but we are improving."
Hull: Myhill, Ricketts (Forster 83), Turner, Coles, Delaney, Fagan, Ashbee, Marney (France 21), Livermore (Welsh 75), Elliott, Barmby.
Subs Not Used: Duke, McPhee.
Goals: Barmby 44, Fagan 45.
Southampton: Davis, Ostlund, Lundekvam, Baird, Bale, Surman (Prutton 55), Pele, Skacel, Wright, Rasiak, Jones (Wright-Phillips 62).
Subs Not Used: Bialkowski, Makin, Viafara.
Goals: Rasiak 19, Bale 25, Rasiak 75, Wright-Phillips 82.
Ref: M Halsey (Lancashire).
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