Michael Owen missed a penalty for Liverpool as James Beattie and Kevin Phillips gave Southampton the spoils.
Beattie lifted an effort over keeper Jerzy Dudek to put the home side ahead after Liverpool wasted several chances.
The visitors could have equalised when they were awarded a dubious penalty but Owen's effort was saved by impressive Saints keeper Antti Niemi.
Phillips struck via a deflection late on to give boss Paul Sturrock a winning start to his reign.
Liverpool made the brighter start as Southampton struggled out of the blocks but, despite having the better chances throughout the match, the visitors failed to capitalise.
Harry Kewell was the first to threaten but was denied when Niemi pulled off a smart save low to his left to divert a well-struck angled shot wide.
45 mins: Owen is clean through but his shot is saved
51 mins: Beattie finishes with aplomb for Southampton
72 mins: Owen misses a penalty
85 mins: Phillips adds a Saints second
The home team were opened up again when Kewell found Steven Gerrard in space but the Liverpool captain's effort was just high as he tried to curl a shot into the far corner.
Sturrock eventually saw his players threaten the Liverpool goal when Claus Lundekvam was left unmarked at the far post only to head tamely into the ground and into Dudek's grateful grasp.
A brief Saints flurry created a chance for Phillips but he could not get an outstretched leg to a ball over the top of the Liverpool defence.
Igor Biscan bravely headed away for the visitors with striker Beattie bearing down on him before Owen spurned a glorious chance on the stroke of half-time.
The England striker was played through on goal by Kewell but placed his shot too close to Niemi, who was able to make a save.
The home side made Gerard Houllier's side pay for their misses when the Liverpool defence were caught off-guard.
Beattie and Phillips ran clean through on to goal and exchanged passes before the former - with a hint of offside - lifted his effort over Dudek.
Owen was again the culprit for Liverpool as they were stung into action by the goal.
He was denied by the post after having little time to react and steady himself as Gerrard's shot was parried into his path by Niemi.
Niemi was proving Liverpool's nemesis and there was a sense of justice prevailing when he kept out Owen's penalty after Kewell was adjudged to have been fouled by Jason Dodd.
Liverpool failed to beat Niemi and their misery was only compounded when a long range Phillips shot was deflected in with five minutes remaining.
Southampton: Niemi, Dodd, Lundekvam, Michael Svensson, Le Saux (Higginbotham 44), Telfer, Prutton, Delap, McCann (Anders Svensson 67), Beattie, Phillips (Tessem 90).
Subs not used: Smith, Pahars.
Booked: McCann, Telfer, Lundekvam.
Liverpool: Dudek, Biscan, Henchoz (Riise 75), Hyypia, Carragher, Kewell, Gerrard, Hamann, Diouf (Heskey 60), Baros, Owen.
Subs not used: Luzi Bernardi, Traore, Murphy.
Referee: D Gallagher (Oxfordshire).