Lambert headed an equaliser in Saturday's League One clash at St Mary's after Franck Moussa had given Southend a shock lead and then added a penalty before Adam Lallana wrapped the game up in stoppage time.
Following a disappointing opening 45 minutes, the game opened up after the break and Moussa struck his sixth of the season in the 56th minute with a fine curling effort from 20 yards into the corner of the net.
The lead lasted just two minutes when Lambert snuck in at the near post to head in Jason Puncheon's cross.
Five minutes from time, the Saints frontman was brought down inside the penalty area, before dusting himself off and placing the subsequent spot-kick into the bottom corner.
In the final minute Lallana was sent clear by Dan Harding before slotting home his 20th goal of the season.