Keogh (right) gave Wolves the lead after six minutes
Wolves produced a battling performance to clinch their first win of the season thanks to Andy Keogh's early header.
Keogh had already curled a shot against the angle of post and bar when he rose to meet Nenad Milijas's free-kick and nod past Wigan keeper Chris Kirkland.
Charles N'Zogbia wasted a great chance to level when he ran clear before shooting straight at Wayne Hennessey.
Wigan dominated after the break but the closest they came to an equaliser was when Scott Sinclair headed wide.
The manner of Wigan's impressive victory over Aston Villa on the opening day of the season had raised expectations at the DW Stadium of life under new boss Roberto Martinez, but there was to be no repeat of that result or performance here.
Martinez is already a hero to the Latics faithful after his successful six-year stint with the club as a player but his first home match as manager after eight years away ended in frustrating fashion.
Wolves' fans had endured a much less enjoyable first weekend of the season, losing at home to West Ham and seeing last season's top scorer Sylvan Ebanks-Blake limp off injured, but Keogh's early strike soon gave them something to celebrate.
Keogh has his critics on the terraces for failing to match his work ethic and creative instincts with goals but on this occasion he quickly showed he knows where the net is.
The Republic of Ireland international had been unlucky to see his shot hit the woodwork in Wolves' first attack but, just two minutes later, he put them in front.
Milijas hoisted a long free-kick into the Wigan area and Keogh rose above Paul Scharner to nod downwards past Kirkland and into the bottom corner, via the same post that had previously denied him.
Wolves' set-pieces were causing their hosts all sorts of problems and could have had led to a second goal when a Milijas corner was flicked on by Keogh only for Greg Halford to volley wildly over.
At the other end Wigan were struggling to create a meaningful chance and it was only towards half-time that they threatened an equaliser.
First N'Zogbia broke clear before shooting tamely at Hennessey then, when the ball was quickly turned back into the box, it took a last-ditch tackle from Stephen Ward to deny the French winger at the far post.
Wigan continued their improvement at the start of the second half, with Hugo Rodallega curling a free-kick straight at Hennessey after Richard Stearman fouled Jason Koumas.
But Wolves were still looking dangerous and felt they should have had a penalty when Keogh fell after turning Titus Bramble in the area - manager Mick McCarthy was less than happy at Mick Jones's decision to book his player for diving rather than award a spot-kick.
As the game wore on, Wigan sacrificed some of their slick passing for brute force - and Jason Scotland's introduction from the bench signalled a more direct approach for the Latics.
It almost worked, with only a well-timed Karl Henry tackle stopping Scotland from firing home an equaliser and Hennessey recovering just in time to deny the Trinidad and Tobago international after spilling Scharner's long-range shot.
By now, the visitors were hanging on but, when Sinclair nodded wide from a Jordi Gomez cross, Wigan's last chance was gone.
Wolves did not manage a single away win in their last campaign in the top-flight, 2003/04, which ended in relegation. The industry and endeavour they showed here will give them hope of avoiding the same fate this season.
Wigan manager Roberto Martinez: In the first 25 minutes we paid the price for what has been a very demanding week for us
"We had nine players on international duty and it was a very disruptive week and after putting in a great effort against Villa but today we paid the price.
"We were sloppy, we didn't have energy and we couldn't get hold of the game and Wolves took advantage."
Wolves boss Mick McCarthy: "It was a mature performance and having got the lead I would hardly say we were hanging on.
"We have had to defend the lead for a long time but we still have managed to create chances.
"We had disappointment on Saturday despite playing well so it feels pretty good at the minute to get an away win."
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