Joe Bunney squandered an early chance for Dale but the visitors took the lead in the 12th minute when Jacob Murphy seized on Matt Done's mistake and crossed for Barry Corr to convert from close range.
Scott Hogan and Bunney made a hash of Dale's best chance of the first half, the duo getting in each other's way with just goalkeeper Dan Bentley to beat.
Top scorer Hogan limped off after half an hour and things got worse for the home side when Ryan Leonard crossed for Murphy to score Southend's second two minutes before the break.
The visitors wrapped up the result within seconds of the restart when Michael Timlin volleyed home Kevan Hurst's cross from the left.
Hurst went close to a fourth when his long-range effort struck the Dale crossbar, while the home side had the ball in the net via Jack O'Connell's header, only for the defender to be ruled offside.
The result saw Rochdale slip to third in the table with the gap between themselves and fourth-placed Fleetwood down to just three points now.