Nicky Bailey and Matt Harrold helped Southend secure their place in the second round of the FA Cup.
The Shrimpers took the lead after just 22 seconds when Bailey headed in Steve Hammell's cross from six yards.
But the injury-hit visitors got on even terms after 12 minutes when Adam Le Fondre stabbed the ball home.
Matt Harrold made it 2-1 from the spot on 24 minutes, after Nathan Stanton brought down Gary Hooper - but Harrold later missed a second penalty.
Southend: Collis, Hunt, Peter Clarke, Barrett, Hammell, Moussa, Bailey, Maher, Gower, Harrold, Hooper (MacDonald 84).
Subs Not Used: Flahavan, Francis, Richards, Black.
Goals: Bailey 1, Harrold 24 pen.
Rochdale: Russell, D'Laryea, Stanton, Crooks (Prendergast 66), McArdle, Kennedy, Higginbotham, Jones, Perkins, Le Fondre, Murray (Rundle 66).
Subs Not Used: Rigby, Doolan, Thompson.
Booked: D'Laryea, McArdle, Stanton, Jones.
Goals: Le Fondre 12.
Ref: Graham Horwood (Bedfordshire).