The Sheffield side struggled to carve out chances in a disappointing opening half before finishing with a flourish, with two headers cleared off the line and keeper Kelvin Davis foiling Danny Webber.
United almost snatched an early lead, David Cotterill, showing some of the form of last season, threaded the ball to Stephen Quinn and the little midfielder drilled in a low right-foot strike, which was pushed round the far post by Davis.
Webber, preferred to Billy Sharp won the ball in midfield and went on a surging run, but selfishly tried his luck with a hopeless long-range strike with the unmarked Cotterill screaming for the ball.
Southampton, who had leaked seven goals in their previous two games, should have broken the deadlock in the 23rd minute, as they pulled the United defence apart.
Bradley Wright-Phillips cleverly exchanged passes with Stern John, but lost his cool with only Paddy Kenny barring his way as he hammered the ball high over the target from 12 yards.
Full-back Chris Perry, overlapping on the left flank had the United keeper scrambling across his line minutes later as he lashed in left-foot strike from 30 yards, the ball spinning wide of the far post.
Saints escaped three minutes after the break, substitute Anthony Stokes stretching to reach Brian Howard's corner as his header was cleared off the line by Joseph Mills.
Mills burst downfield as United were caught on the break, finding space on the left flank to lash in a stinging left-foot strike that was saved by the diving Kenny as he guarded the near post.
James Beattie had a shot pushed away by Davis before substitute Stokes had the ball in the net only to be ruled offside.
Centre-back Ugo Ehiogu had a header cleared off the line and Davis pulled off a stunning save to foil Webber as United finished with a flourish.
Southampton were down to ten men a minute from time, Oliver Lancashire red-carded for after picking up a second booking.