Chelsea came from behind to maintain their 100% record as Southampton's James Beattie scored at both ends.
The visitors were ahead after just 12 seconds, Beattie's superb half-volley dipping over Chelsea keeper Petr Cech.
But Beattie put through his own net after a corner, with Frank Lampard's penalty putting Chelsea ahead following Claus Lundekvam's handball.
Antti Niemi kept Chelsea at bay for the rest of the game, saving shots from Damien Duff and Mateja Kezman.
Chelsea were well worth their win, Jose Mourinho's side completely dominating possession and creating a succession of chances.
Duff also came on as a second-half substitute to make his first appearance of the season, boosting Mourinho's options on the left of midfield.
However their attacking play, with Didier Drogba continuing to find his feet in the Premiership, has yet to find the fluency of Arsenal, though with four wins out of four this remains Chelsea's best start to the season in 76 years.
In their previous three league games Chelsea had not conceded a goal, but seconds after the kick off a bewildered Cech found himself picking the ball out of the net.
Joe Cole's poor backpass found Beattie lurking just outside the Chelsea box and he despatched a wonderful shot past the Czech Republic goalkeeper into the roof of the net.
For the rest of the first-half Cech was a virtual spectator as Chelsea poured forward at every available opportunity.
Initially the Southampton defence held firm, Niemi making two good saves to deny Drogba and Paul Telfer bravely blocking an Eidur Gudjohnsen shot, while Graham Le Saux cleared a Cole effort off the line.
But 10 minutes before the interval the Southamptom defensive dam burst with the equaliser coming from the most unlikely of sources - Beattie.
Dropping back to help out his defence the ball came off the Southampton striker's chest after Gudjohnsen flicked on a Lampard corner.
Niemi made a desperate attempt to clear the ball as did Anders Svensson, but to no avail.
Soon after Svensson had better luck as he cleared Tiago's header off the line, though Chelsea did not have to wait much longer to take the lead.
Lundekvam, who argued he had been nudged by Drogba, put his hand in the air and referee Steve Bennett immediately pointed to the spot.
Lampard slipped as his struck the penalty, but with Niemi diving the wrong way, the Chelsea midfielder's shot proved good enough to find the net.
Chelsea were just as dominant after the break.
Gudjohnsen almost deflected a Lampard shot past Niemi, with the Southampton goalkeeper also making saves from Duff and Kezman as well as Rory Delap's miscued header.
Chelsea: Cech, Paulo Ferreira, Ricardo Carvalho, Terry, Bridge,
Makelele (Geremi 90), Tiago, Lampard, Cole (Duff 57),
Gudjohnsen (Kezman 60), Drogba.
Subs Not Used: Pidgeley, Gallas.
Goals: Beattie 34 og, Lampard 41 pen.
Southampton: Niemi, Telfer, Lundekvam, Higginbotham, Le Saux,
Anders Svensson (Van Damme 83), Delap, Prutton,
Fernandes (Folly 23), Beattie, Phillips, Folly (Crouch 70).
Subs Not Used: Smith, Cranie.
Booked: Delap, Phillips, Prutton, Le Saux.
Goals: Beattie 1.
Ref: S Bennett (Kent).