A fine strike from Newcastle defender Stephen Carr helped Graeme Souness continue his winning start to life as manager of the Magpies.
The visitors went in front on the stroke of half-time when Saints midfielder David Prutton deflected Alan Shearer's shot into his own net.
Southampton levelled when Anders Svensson took advantage of some slack defending to fire past Shay Given.
But Carr ensured all three points when he struck with a shot from long range.
Newcastle went into the game without a Premiership win on their travels in 16 attempts.
They had not won at Southampton in the League in their previous 18 attempts, while the Saints were looking for a first win under Steve Wigley.
Southampton enjoyed the best of the early chances, with Kevin Phillips shooting over the bar and Fabrice Fernandes testing Given with a left-foot volley.
Newcastle answered with Shearer missing a golden opportunity with a free header in front of goal that he put wide of the upright.
Prutton shot well over before Rory Delap headed wide as Southampton stepped up a gear.
Phillips was upended on the edge of the box, giving James Beattie the chance to fire in a free-kick, which he drilled at Andy O'Brien and deflected wide.
Newcastle were finding life difficult and were reduced to half chances.
Nicky Butt tried his luck from long range with a left-foot drive, which he struck well, but it was too close to Antti Niemi to seriously test the Saints keeper.
Olivier Bernard found O'Brien with a free-kick but his glancing header drifted wide.
Craig Bellamy, who was playing on the right wing, found space and his centre was just behind both Patrick Kluivert and then Jermaine Jenas at the back post.
The Magpies took the lead at the end of the first period through Prutton's own-goal.
Bernard and Bellamy combined to set up Kluivert in front of goal but, with time to pick his spot, he tried the spectacular but fluffed his attempted flick.
Fortunately for the Dutchman, the ball fell for Shearer at the back post and his shot looked to be heading wide before Prutton's attempted clearance found the back of his own net.
Southampton got back on level terms when Svensson latched on to a hopeful ball into the box and he took one touch before slotting past Given.
But four minutes later Newcastle were back in front through Carr's first goal for the club.
The defender's fierce shot from well outside the area flew past the diving Niemi and into the bottom corner.
Newcastle could have increased their lead through Jenas but Claus Lundekvam came to Southampton's rescue.
In the end, Carr's goal was enough to make it a profitable first week in charge for Souness.
Southampton: Niemi, Nilsson, Lundekvam, Jakobsson, Le Saux,
Fernandes, Prutton, Delap, Anders Svensson (Best 76),
Phillips (Crouch 67), Beattie.
Subs Not Used: Blayney, Higginbotham, Telfer.
Goals: Anders Svensson 53.
Newcastle: Given, Carr, Elliott, O'Brien, Bernard, Bellamy,
Butt, Bowyer, Jenas, Kluivert (Milner 67), Shearer.
Subs Not Used: Robert, Hughes, Ambrose, Harper.
Booked: Carr, Bowyer, Bellamy.
Goals: Prutton 45 og, Carr 57.
Ref: C Foy (Merseyside).