The Latics conceded twice early against the Blues but there was none of that today as they were more assured in defence against a Saints side who stretched champions Manchester City last week.
It took until six minutes into the second half to break the deadlock and it was done so in fine fashion when Shaun Maloney found Franco di Santo for the Argentine striker to fire home into Kelvin Davis' top right corner.
Southampton were unlucky not to go ahead earlier when Adam Lallana's long range effort was tipped onto the bar by Latics keeper Ali Al Habsi and it was the Omani who stood in the way of the home side, making no less than six saves for the day.
But for all their attacking play, the Saints were made to pay with a minute remaining when new Latics striker Arouna Kone dispossessed Jose Fonte in his own half before advancing down the length of the pitch and slotting home to send all three points into Roberto Martinez's pocket.
It will be a case of 'what happened?' for Nigel Adkins whose side had the better of the chances but could not breach the Wigan goal as they have to settle for two defeats in their return to the top flight.
St Mary's Stadium, Southampton - 29,604
Yellow cards:SOU - nil WIG - nil