Lee Barnard got the game's only goal on his full Southend debut to ensure incoming Leeds manager Gary McAllister will have to take over a losing side.
Former Spurs forward Barnard touched home in the 41st minute after keeper Dave Lucas could only get a hand to Steve Hammell's 25-yard free-kick.
Earlier, David Prutton and Andy Hughes had forced good saves from Southend keeper Darryl Flahavan.
Tresor Kandol also fired a good chance wide, but Southend ran out winners.
Southend: Flahavan, Francis, Clarke, Barrett, Hammell, Black (Moussa 90), Bailey, McCormack, Gower, MacDonald (Scannell 75), Barnard.
Subs Not Used: Collis, Maher, Liptak.
Booked: Bailey, Barnard.
Goals: Barnard 41.
Leeds: Lucas, Richardson, Kenton, Huntington, Parker, Prutton (Flo 81), Hughes, Kilkenny (Johnson 83), Sweeney (Carole 68), Beckford, Kandol.
Subs Not Used: Heath, Howson.
Ref: Lee Probert (Wiltshire).