The 23-year-old striker is the first Foxes player since Derek Dougan in 1966 to achieve the feat and gave his side a sixth-minute lead when he collected a pass from Matt Oakley and cut inside Adam Barrett before he beat Southend goalkeeper Steve Mildenhall with a low angled drive from inside the box.
Fryatt collected his second of the afternoon in the 76th minute when he latched on to Steve Howard's flick and raced away from Barrett before he decisively struck an 18-yard strike into the bottom-left corner of the net.
Southend were largely restricted to long-range attempts and their best chance of the game had fallen to Robert Milsom when he struck a free-kick from just outside the box which was brilliantly saved by goalkeeper David Martin.
The former Walsall forward was then handed a chance to complete his second hat-trick in as many games in the 80th minute - following the three goals he scored against Dagenham in the FA Cup last weekend - from the penalty spot after Southend's Peter Clarke handled inside the box.
Fryatt struck the resulting spot-kick past Mildenhall with a confident finish into the top-left corner of the net before he left the pitch to a standing ovation as Leicester remain top of League One.