New manager Dennis Wise saw Leeds lose their fifth game in a row and crash out of the Carling Cup to Southend.
Hammell put Southend in front
Steve Hammell put Southend ahead from the penalty spot after Stephen Crainey fouled Mark Gower.
Gary Hooper doubled the visitors' lead, his weak shot beating Tony Warner after Matthew Kilgallon gave the ball away.
Ian Moore pulled a goal back with a right-foot strike from 12 yards but Hooper made it 3-1 after being left unmarked in the Leeds box.
Southend had not won in their previous five matches but can now look forward to Saturday's trip to Elland Road for a Championship fixture with renewed confidence.
Saturday's match will be Wise's first match in charge of Leeds.
He was paraded around Elland Road before the tie, which was played in front of 10,441, and watched the match from the stands.
Dave Geddis was in charge of Leeds for the match and made six changes from the team that lost 5-1 at Luton on Saturday.
But after a bright start by the home team Southend threatened, with Tony Warner saving an Efe Sodje header.
Hammell and Hooper scored for Southend before Moore's goal, which came after Darryl Flahaven had twice saved from David Healy.
Hooper made the tie safe for Southend after the break, connecting with Luke Gutteridge's cross.
Leeds caretaker boss Dave Geddis on the rest of the season:
"There are a lot of games to go in the league and realistically the play-offs are not a problem if they can raise their game.
"Momentum has to pick up sometime because it can't get any worse."
Southend manager Steve Tilson:
"It's nice to get a result, especially away from home.
"I was pleased with the performance, although the lads were all a bit disappointed to only go in 2-1 up at half-time.
"We kept the ball very well throughout the game and Man Utd away would be a good reward for us in the next round."
Leeds: Warner, Kelly, Butler, Kilgallon, Crainey (Cresswell 69), Richardson, Douglas, Westlake, Lewis (Bayly 69), Healy, Moore (Blake 87).
Subs Not Used: Sullivan, Carole.
Booked: Crainey, Douglas.
Goals: Moore 44.
Southend: Flahavan, Hunt, Sodje, Barrett, Hammell, Francis, Maher, Clarke, Gower, Paynter (Guttridge 22), Hooper (Wilson 89).
Subs Not Used: Collis, Smith, Moussa.
Booked: Paynter, Maher, Francis.
Goals: Hammell 34 pen, Hooper 36, 64.
Ref: Michael Dean (England).