A rather lacklustre first half from City was followed by an exciting second 45 minutes as Nigel Adkins' Saints showed that they will not be beaten easily this season.
Carlos Tevez scored the opening goal of the game in the 40th minute when Samir Nasri found him with a deft, lofted ball for the Argentine to run onto and side-foot past Davis from an angle. The goal was allowed even though there was a hint of offside from Tevez.
The followed David Silva's 17th minute penalty miss - a weak effort easily saved by Kelvin Davis - after Tevez was brought down by Jos Hooiveld on the turn. Earlier, Sergio Aguero was stretchered off after he was caught in a fair tackle by Nathaniel Clyne but his ankle twisted in the turf and he will now be monitored over the next few days.
After half-time, the game sprung to life when Southampton's Rickie Lambert came off the bench and immediately made an impact by levelling for his side in the 59th minute when he produced a superb finish past Joe Hart after the ball fell to him at the top of the box after a scramble.
Less than ten minutes later, Southampton found themselves in front not long after the leveller when Adam Lallana found sub Steven Davis who finished in similar fashion to Lambert with a side-footed effort past Hart's left glove to give his side an unlikely lead and sending the 2,000 visiting Saints fans into raptures.
Just when the Saints were on cloud nine, however, the champions hit back when the ball fell to Edin Dzeko and he hammered home from close range to square it up again.
Moments later, Jason Puncheon had a good chance to put the visitors ahead again before Mario Balotelli missed an open goal after being found by Nasri which ended a scintillating few minutes of football.
The killer blow from a Saints point of view came with ten minutes left when Gael Clichy's leftwing cross was poorly cleared by Danny Fox with his header falling into the path of Nasri to fire home from the middle of the box, giving City maximum points on opening weekend.
Despite the loss, Adkins will be very happy with his side's performance whilst Roberto Mancini will be looking for plenty of improvement from his City side.
Emirates Stadium, Manchester - 46,190
Yellow cards:MC - Samir Nasri 81' SOU - Danny Fox 62', Morgan Schneiderlin 87'
Match notes: - Kelvin Davis, Jos Hooiveld, Jose Fonte, Adam Lallana, Giuly do Prado, Morgan Schneiderlin, Rickie Lambert, Billy Sharp (Premier League debut), Nathaniel Clyne, James Ward-Prowse, Jay Rodriguez (SOU & Premier League debut), Jack Rodwell (MC debut), Steven Davis (SOU debut)