The 30-year-old has been in imperious form for Saints this season, with his 21 league goals propelling the promoted club to top of the division. Lambert beat team-mate Adam Lallana and Cardiff midfielder Peter Whittingham to the award in what has been an incredible first season in the second tier of English football.
"This award has surprised me a little bit as I thought my team-mate Ads was going to get it," he told Press Association Sport. "I am surprised but delighted. I did not think I was going to be so nervous walking to collect the award, but it was so long and my mouth dried up."
He added: "When Saints got to the Championship I was at a point in my career where I was mentally strong. I came into the Championship at the right time and I was confident I could do it.
"I am happy at Southampton. My family are happy and I am in a great team as well."
Lambert has been prolific for Southampton since joining from Bristol Rovers in 2009, netting 82 goals in 149 appearances.
The Liverpool-born frontman's goals helped the Saints to automatic promotion from League One and he has continued his fine form in the Championship.
"I know everyone says you don't get anything without hard work but that is definitely the case," said Lambert, who plied his trade with Macclesfield, Stockport and Rochdale after leaving Blackpool. "I wish I had been a bit more professional earlier in my career but that has helped me to where I am now.
"I wasn't confident in myself. I wasn't really confident I could get to the Championship or Premier League.
"I didn't really push myself but over time I have been pushed further forward. The confidence came and Southampton came in for me and I kicked on."
Source: PA
Source: PA