A Saido Mane goal eight minutes before time ensured that Palace fell to their first defeat away from home under Alan Pardew at St Mary's.
The Saints winger popped up with the crucial goal that decided a tense encounter that Palace nearly snatched when Wilfried Zaha hit the post in the second half, but after Mane's dinked finish they couldn't find a way to claw their way back into this one.
The opening quarter of the game was all Southampton with Palace feeding off scraps as the hosts enjoyed much more of the ball in the attacking third, but could barely carve out an opportunity. Indeed the Saints' only sighter came when a miscued attempt by Victor Wanyama fell straight into the path of Filip Djuricic but the January signing scooped the ball well over from a good position.
Mane then ballooned a shot miles wide after a mazy dribble on 35 minutes before Julian Speroni was called into action for the first time when a corner came to Eljero Elia on the edge of the area who drove towards goal and forced the Palace keeper to get down low to push away his effort, before Graziano Pelle stabbed wide the rebound.
After 45 minutes of soaking up the pressure, the Eagles came out of the traps after the break quickly forced Fraser Forster into a good reaction save. Yannick Bolasie teased his way down the left and played a cross into the box that found Jason Puncheon, who controlled the ball before shooting on the turn and forcing the best out of the England international.
They came inches away from taking the lead on 55 minutes when Zaha slipped in Bolasie who forced Forster into a low stop, but after Southampton failed to clear their lines the DR Congo winger returned the favour for Zaha who beat Forster with a powerful low effort but saw it smack off the base of the post and narrowly avoid the sliding Bolasie.
That helped the game finally come to life and Djuricic headed over from a Pelle cross, and Maya Yoshida flicked a Dusan Tadic just past the post as the game went into the final 15 minutes, looking as though just the one goal would be needed to win it.
And with eight minutes to go that was the case. Mane picked the ball up from a throw-in and played it to James Ward-Prowse who drove at the Palace defence and struck the ball straight at Speroni, however the Senegalese international had continued his run and finished the move he started by clipping the ball over the Eagles keeper to grab the all-important goal.
After that late blow the Eagles were unable to muster a response and ensured their winless record against the Saints in the Premier League stretched to 12 games.
Southampton: Forster, Bertrand, Yoshida, Fonte, Clyne, Wanyama, Schneiderlin, Elia (Tadic 59), Djuricic (Ward-Prowse 78), Mane, Pelle (Long 70). Subs not used: K Davis, Gardos, Alderweireld, S. Davis.
Palace: Speroni, Kelly, Delaney, Dann, Ward, McArthur (Ameobi 83), Ledley, Zaha, Puncheon, Bolasie, Gayle. Subs not used: Hennessey, Mariappa, Hangeland, Souare, Boateng, Gray.