A Gary Caldwell header gave the home side a first half lead against the run of play, but the Saints deservedly equalised when Rickie Lambert headed home from close range.
Southampton dominated for the majority of the match, and they took a deserved lead five minutes from time after Morgan Schneiderlin swept home following a fine run from Jay Rodriguez. However, it was heartbreak for the Saints as Shaun Maloney finished after a Paul Scharner knockdown from a corner.
Wigan chose to hand a debut to Scharner upon his return from Hamburg, whilst Adam Lallana was not deemed fit enough to start after his return from injury in midweek off the bench. Luke Shaw returned to the side in place of Danny Fox.
This was Southampton's first ever trip to Wigan, and they started off the brighter of the two sides, immediately getting onto the front foot and looking to control possession in midfield. However, they could not find the final ball to create a clear-cut chance, and Artur Boruc was the goalkeeper forced into the first save, diving down low to keep out a Franco Di Santo shot.
Three minutes later, Southampton striker Lambert's shot found Gaston Ramirez in acres of space and onside. The Uruguayan could have taken a touch but chose to volley, and the ball flew well over.
Wigan took the lead against the run of play on 25 minutes when Jean Beausejour's corner was met by captain Caldwell, who guided a fine header into the bottom left corner.
Southampton almost responded in bizarre fashion, a James McCarthy clearance rebounding off Schneiderlin and forcing Ali Al-Habsi into a sprawling stop to claw the ball behind, while Jos Hooiveld headed just wide from a corner.
Southampton began the second half as they did the first and, in a spell of ten minutes, Hooiveld was just unable to get a firm enough header and Jay Rodriguez missed his kick in front of goal.
On 64 minutes, Southampton got what they deserved. A cross from the right-hand side came to the back post, and Lambert was brave enough to put in a header despite the close presence from Al-Habsi.
If that goal should have woken up Wigan, it simply spurred on Southampton, and five minutes later substitute Lallana struck a post following a corner, and Lambert then volleyed just wide as Wigan desperately tried to weather the storm. The away side finally took a deserved lead with a wonderful team move as the impressive Shaw sent Rodriguez down the left and the forward pulled the ball back for Schneiderlin to sweep home.
But, with two minutes remaining, Saints' hearts were broken. Wigan won a late corner and Scharner knocked the ball down to Maloney, who finished from a tight angle.