Wigan secured their first win of the new campaign as Southampton's first top-flight home game for seven seasons ended in disappointment.
Franco di Santo rifled into the roof of the net for a Latics side without Victor Moses , whose move to Chelsea went through on Friday.
Arouna Kone then robbed Jose Fonte near the halfway line to secure the points.
Saints captain Adam Lallana and defender Jos Hooiveld both hit the bar but Wigan deserved their win.
The match was the Saints' first home game since their 27-year stay in the top flight was ended in May 2005.
Neither side could create any notable chances in the opening stages, before England Under-21 international Lallana took things into his own hands and produced a stunning save from Ali Al Habsi as the Wigan goalkeeper used all his 6ft 4in frame to tip the 25-yard drive onto the bar.
The dismal play on the pitch was soon reflected by the weather as heavy rain fell towards the end of the first half.
"These games are so important to the clubs who are expected to be in the middle or lower parts of the table. Wigan looked comfortable towards the end of the second half. They kept clean sheets in their first and last away games last season, and they looked very secure today. After today, Southampton now know what the Premier League is all about."
Whatever the managers said at the interval had an immediate effect, as Rickie Lambert - who scored 27 goals in the Championship for Southampton last term - forced Al Habsi into a smart save from a header before Di Santo opened the scoring for the visitors a minute later.
The Argentine ran onto an incisive through-ball by a twisting Shaun Maloney and powered his shot into the roof of Kelvin Davis's net from a tight angle.
Lambert was carrying all Southampton's attacking threat and, after he forced another save from Al Habsi with a low shot from 25 yards, he turned creator as his cross was headed onto the bar by centre-back Hooiveld.
Wigan's defence was torn apart by Chelsea at times last Sunday, but summer signing Ivan Ramis - so badly exposed by Eden Hazard last weekend - helped them to hold firm and keep successive away home clean sheets for the first time in a year.
Moses had produced the spark in the Wigan team that lost just two of their final seven away games last season as they stylishly avoided the drop, and his absence appeared obvious for much of the game as Kone struggled to make an impact.
This was to change in the final minute of normal time as the Ivorian finally showed the finishing ability that saw him score twice against La Liga champions Real Madrid for former side Levante last season as he robbed the hesitant Fonte and slotted into the net with aplomb.
Southampton manager Nigel Adkins:
"The Premier League is a relentless division. We had opportunities and didn't take them. You have to be ruthless, the harsh reality is you will be punished if you are not.
"Wigan scored their two goals with good finishes and our goalkeeper Kelvin Davies had nothing else to do but pick the ball out of his net.
"Goals change games, and 1-0 down with 20 minutes to go, you change your formation to get back into it; that is my responsibility.
"But the 4-4-2 saw them have far too much of the ball."
Wigan manager Roberto Martinez:
"I am delighted, as we knew we were coming in the worst possible moment to play them due to their winning momentum from their achievements to get into the Premier League. They put us under massive pressure early on, and from then on we composed ourselves and slowly grew into the game.
"It was a well worked performance and we had to be perfect in many aspects.
"The strikers live on great finishes and scoring goals. They did huge jobs for the team, and the goals were their reward."
Live Text Commentary
Full Time The referee blows for the end of the match.90:00 +3:47
Jose Fonte has an effort at goal from close in which goes wide left of the goal.90:00 +3:37
The ball is sent over by James Ward-Prowse, James McArthur manages to make a clearance.90:00 +3:01
Guly Do Prado takes a shot. Save by Ali Al Habsi. Adam Lallana takes a inswinging corner from the left by-line played to the near post.90:00 +1:14
Corner taken by Adam Lallana from the left by-line, Ivan Ramis manages to make a clearance.90:00 +0:22 Substitution
Substitution Mauro Boselli joins the action as a substitute, replacing Arouna Kone.88:51 Goal scored
Goal! - Arouna Kone - Southamp'n 0 - 2 Wigan Arouna Kone scores a goal from inside the box to the bottom left corner of the goal. Southampton 0-2 Wigan.87:35
Guly Do Prado concedes a free kick for a foul on James McCarthy. Antolin Alcaraz takes the free kick.84:19
Adam Lallana takes a shot. Save by Ali Al Habsi. Corner from the left by-line taken by Adam Lallana, clearance made by James McCarthy.80:18
Arouna Kone produces a right-footed shot from deep inside the penalty box which goes wide of the left-hand post.79:18
James Ward-Prowse gives away a free kick for an unfair challenge on Jean Beausejour. Direct free kick taken by Maynor Figueroa. Arouna Kone takes a shot. Daniel Fox gets a block in.78:11
The ball is swung over by Rickie Lambert, Jos Hooiveld takes a shot.78:00
Centre by James Ward-Prowse.77:21
Antolin Alcaraz concedes a free kick for a foul on Billy Sharp. Daniel Fox takes the direct free kick.76:43
Outswinging corner taken left-footed by Jordi Gomez, clearance made by Jose Fonte.75:21 Substitution
Substitution (Southampton) makes a substitution, with Billy Sharp coming on for Jay Rodriguez.74:24 Substitution
Substitution Steven Davis leaves the field to be replaced by James Ward-Prowse.74:24 Substitution
Substitution Jean Beausejour replaces Shaun Maloney.73:32
Emmerson Boyce sends in a cross.71:53
Arouna Kone is ruled offside. Kelvin Davis restarts play with the free kick.
Jordi Gomez takes a shot. Save by Kelvin Davis.70:57
Arouna Kone takes a shot. Blocked by Jose Fonte. Short corner worked by Shaun Maloney.69:38
James McCarthy challenges Guly Do Prado unfairly and gives away a free kick. Direct free kick taken by Jose Fonte.67:23
Free kick awarded for a foul by Guly Do Prado on James McCarthy. Ivan Ramis takes the direct free kick.66:11 Substitution
Substitution Jordi Gomez is brought on as a substitute for Franco Di Santo.66:02
Morgan Schneiderlin gives away a free kick for an unfair challenge on James McArthur. Free kick taken by James McArthur.63:28
Rickie Lambert takes a shot. Ali Al Habsi makes a save. Inswinging corner taken from the right by-line by Daniel Fox, Adam Lallana produces a right-footed shot from the edge of the box and misses to the right of the target.62:40
Franco Di Santo has an effort at goal from outside the box which goes wide left of the goal.60:41
Corner taken by Daniel Fox from the right by-line, Unfair challenge on James McCarthy by Jos Hooiveld results in a free kick. Ali Al Habsi takes the direct free kick.60:11
Foul by Antolin Alcaraz on Steven Davis, free kick awarded. Daniel Fox takes the free kick.59:09
The ball is sent over by Guly Do Prado.57:26
Free kick awarded for a foul by Nathaniel Clyne on Maynor Figueroa. Ali Al Habsi restarts play with the free kick.55:03
Rickie Lambert concedes a free kick for a foul on Gary Caldwell. Gary Caldwell takes the free kick.54:08
Adam Lallana takes the inswinging corner, save by Ali Al Habsi. Daniel Fox takes a shot. Save by Ali Al Habsi.53:59
The ball is sent over by Jay Rodriguez, clearance made by Gary Caldwell.51:53
The ball is swung over by Emmerson Boyce.51:19
The ball is swung over by Maynor Figueroa.50:11
Assist by Shaun Maloney.50:11 Goal scored
Goal! - Franco Di Santo - Southamp'n 0 - 1 Wigan A goal is scored by Franco Di Santo from inside the area to the top right corner of the goal. Southampton 0-1 Wigan.49:43
Guly Do Prado sends in a cross.49:20
Rickie Lambert takes a shot. Save by Ali Al Habsi.48:37
Maynor Figueroa takes a shot. Kelvin Davis makes a save.45:01
The match restarts for the second half.45:00 +1:02 Half time
Half Time The referee blows for half time.44:40
Franco Di Santo has a headed effort at goal from deep inside the area missing to the right of the target.40:47
The ball is delivered by Emmerson Boyce. Franco Di Santo produces a left-footed shot from deep inside the penalty box which goes wide of the right-hand upright.40:06
The ball is swung over by Adam Lallana, Ali Al Habsi makes a save.39:44
Centre by Maynor Figueroa.38:16
Guly Do Prado sends in a cross, clearance by Antolin Alcaraz.37:32
Franco Di Santo concedes a free kick for a foul on Daniel Fox. Kelvin Davis takes the direct free kick.37:16
Jay Rodriguez concedes a free kick for a foul on Antolin Alcaraz. Antolin Alcaraz takes the direct free kick.36:49
Morgan Schneiderlin challenges Maynor Figueroa unfairly and gives away a free kick. James McArthur takes the free kick.35:50
The ball is delivered by Jay Rodriguez.32:17
The ball is swung over by Emmerson Boyce, Maynor Figueroa takes a shot. Nathaniel Clyne gets a block in. Short corner worked by Shaun Maloney. James McArthur takes a shot. Blocked by Jay Rodriguez.30:21
Guly Do Prado is penalised for a handball. Direct free kick taken by Ali Al Habsi.24:44
Emmerson Boyce gives away a free kick for an unfair challenge on Daniel Fox. Free kick crossed right-footed by Adam Lallana from left wing.22:46
Daniel Fox delivers the ball in from the corner. Effort on goal by Jay Rodriguez from 12 yards. Blocked by James McArthur.20:18
Free kick awarded for a foul by Jay Rodriguez on Gary Caldwell. Ali Al Habsi restarts play with the free kick.17:57
Franco Di Santo challenges Jos Hooiveld unfairly and gives away a free kick. Jos Hooiveld restarts play with the free kick.17:19
Headed effort from inside the box by Jose Fonte misses to the right of the target.16:30
James McCarthy gives away a free kick for an unfair challenge on Daniel Fox. Direct free kick taken by Morgan Schneiderlin.15:26
A cross is delivered by Nathaniel Clyne, Headed effort from deep inside the penalty area by Rickie Lambert misses to the left of the goal.13:15
Adam Lallana takes a shot. Save by Ali Al Habsi. Corner from the left by-line taken by Adam Lallana, clearance by James McArthur. Corner from the right by-line taken by Daniel Fox, Ali Al Habsi makes a save.9:35
Free kick awarded for a foul by Morgan Schneiderlin on Shaun Maloney. Free kick taken by Gary Caldwell.8:45
Guly Do Prado takes a shot. Maynor Figueroa gets a block in.7:45
The ball is delivered by Maynor Figueroa, Kelvin Davis makes a save.6:08
Adam Lallana takes a shot. Corner taken by Daniel Fox from the right by-line, Gary Caldwell makes a clearance. Gary Caldwell manages to make a clearance.4:45
Foul by Gary Caldwell on Rickie Lambert, free kick awarded. Free kick taken by Morgan Schneiderlin.2:44
The referee blows for offside against Shaun Maloney. Direct free kick taken by Morgan Schneiderlin.1:47
Unfair challenge on Jay Rodriguez by Emmerson Boyce results in a free kick. The free kick is delivered right-footed by Adam Lallana from left channel, save by Ali Al Habsi.0:00
The ref blows the whistle to begin the match.
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