A mistake by Saints goalkeeper Kelvin Davis gifted Brentford an early lead through Gary Alexander and Charlie MacDonald doubled the score midway through the first period.
Saints should have been one up after two minutes when highly-rated winger Alex Chamberlain whipped in a cross from the right which was flicked on by Ricky Lambert to Guly who powered a header towards the top corner which was magnificently saved by Brentford goalkeeper Richard Lee.
After 13 minutes Alexander hit a speculative effort which slipped out the grasp of Davis and gave the bees a shock lead.
Then 15 minutes later MacDonald doubled the lead with a neat finish on the volley after beating the Southampton offside trap.
Just after the interval Saints should have got back into the game but Chamberlain's fluffed his lines from eight yards out.