Cardiff snatched the lead from their first chance, as goalkeeper Kelvin Davis struggled to punch clear from a Whittingham corner.
The ball dropped to Conway lurking eight yards out and the midfielder rifled the ball into an unguarded net.
Andrew Taylor's long-range strike was punched away by Davis, while Lallana blazed wide twice in quick succession at the other end before the break.
Nigel Adkins' side started the second half with renewed purpose and after Lallana had another strong penalty appeal turned down, Saints were finally awarded a spot-kick when the same player's cross was adjudged to have been handled by McNaughton.
Lambert stepped up and made no mistake, slamming the ball hard and straight past David Marshall for his 19th goal of the season.
Southampton pushed hard for a winner but were almost caught when Bluebirds striker Kenny Miller fired over from 12 yards.
Cardiff wasted another chance to snatch it when Aron Gunnarsson was wayward with a left-footed drive from just inside the area, but at the other end the busy Lallana saw a close-range effort scrambled away by Marshall to keep honours even.
Southampton manager Nigel Adkins:
"I've watched the video and we had two stonewall penalties turned down before [the penalty that was awarded].
"That said, it was a good point and I thought we played some good football in the second half and created some good chances.
"We could have won, but with West Ham being beaten so heavily there's still plenty for us - and Cardiff - to play for."
Mackay hails 'worthy' Saints draw
Cardiff City manager Malky Mackay told BBC Radio Wales:
"I was delighted. They had to change their shape to get back into the game as the home team, and when they do attack they attack in numbers.
"You've really got to stand up and block, make sure you defend properly and pick up your runners, which is what we did tonight.
"A full-strength Southampton took us on tonight at their place, we locked horns and both butted heads and came out with a creditable point each."
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