Captain Gary Caldwell had given the hosts a first-half lead at the DW Stadium but Lambert equalised in the 64th minute and it looked like being a deserved three points for Southampton when Morgan Schneiderlin put them ahead five minutes from time.
However, Wigan roused themselves for one final effort and secured a 2-2 draw when Maloney popped up in the 90th minute to prod the ball home from a corner.
The result left Saints manager Mauricio Pochettino still looking for his first win after three games despite his side being in the ascendancy for large parts of all of them.
Lambert said: "I'm frustrated about conceding in the last minute, it was a very bad goal to give away.
"Obviously when the dust settles and you have time to think about it then we're going to think of it being a good point, but right now it doesn't feel like that, it's a bitter pill to swallow. We should have had three points.
"I thought the performance was brilliant. Throughout the 90 minutes we pressed them, we harried them and we put them under a lot of pressure, and they're a really good football team.
"Last time we played them we got taught a lesson but I thought this time around we showed them how much we've improved and we deserved the three points.
"I thought we deserved a point at Old Trafford and three points here so it's not nice, but when we sit and think about it we'll take positives out of the performances.
"We've been good of late at not conceding many goals. The last two games we've conceded two and these were poor goals, both of them. We need to get back on the training pitch and do better next week."
Saints had a shaky start to life in the Premier League and lost 2-0 at home to Wigan in August. They won only one of their first 11 games and November's clash with QPR was billed as a key match in the relegation battle.
Saints won 3-1 that day and have lost only two matches since. Nigel Adkins was harshly sacked on the back of a draw with Chelsea but the momentum has continued under Pochettino.
Had the visitors picked up three points they would have been six clear of the relegation zone, but a point still leaves them three points ahead of Wigan and Aston Villa.
The Latics again find themselves scrapping to avoid relegation having won only one of their last 12 games and were far from their fluent best on Saturday.
Manager Roberto Martinez wants both players and fans to leave the anxiety at home for their remaining games, but believes they can be encouraged by the manner in which they fought back.
He said: "I think we allowed Southampton's pressure to be very effective. I don't think we were quick enough with our short passing and we couldn't get away from that first line of pressure that Southampton had. All of a sudden they were a real threat.
"In any sport, when you go into a game where there's huge expectation it becomes a lot harder. That was quite evident.
"I've never seen our crowd as frustrated and as worried as they were. We all need to learn that we've got six games left at home, every single game is an opportunity to get points and we need to enjoy the challenge and be as good as we can be.
"The character we showed to get back on level terms is exactly what we need in this final third of the season."