The Robins started well and took a deserved lead after 15 minutes when Sam Deering's cross found Jermaine McGlashan and he drilled his shot beyond Southend goalkeeper Paul Smith.
The visitors rode their luck as further Cheltenham chances went begging and came into the match as the interval approached, snatching an equaliser barely a minute before half-time.
Britt Assombalonga broke clear, and although Scott Brown touched his effort onto the post, the home side failed to clear their lines, allowing Sean Clohessy to score from a tight angle.
The Shrimpers went in front less than four minutes into the second half when Ryan Cresswell headed Kevan Hurst's free-kick goalwards. Brown again diverted the effort onto the woodwork, only for Assombalonga to nod in the loose ball.
And Southend went further ahead just three minutes later as a shell-shocked home defence lost concentration at another Hurst free-kick and Mark Phillips headed home from six yards.