Hull created a chance early on when Craig Fagan swung in a cross from the left which Nicky Barmby managed to get on the end of. However, as the former England man stretched to reach the ball, his six-yard shot was easily collected by Kelvin Davis.
Kenwyne Jones then had a good opportunity for the visitors. Rudi Skacel floated in a cross and Jones rose at the back post to fire a header in on goal but Boaz Myhill was equal to it as he palmed the ball over the bar.
Southampton took the lead on 19 minutes when David Livermore lost the ball in his own half. Jones took the ball forward for the Saints before playing a neat ball across goal towards Grzegorz Rasiak who thumped his shot home from just four yards out.
The visitors doubled their lead six minutes later. Stuart Elliott gave a free-kick away on the edge of the box and Gareth Bale stepped up to curl the ball into the back of the net with a sweet left-footed effort from 20 yards.
Hull grabbed a goal back in the 43rd minute when Barmby slammed the ball home from close range after Southampton had failed to clear a Tigers corner.
The home side then managed to equalise on the stroke of half-time when Fagan got on the end of a poor back pass from Jones before slotting the ball past Davis from 15 yards out.
Southampton regained the lead with 15 minutes left when Skacel played the ball across goal from the left and Rasiak powered home his second goal of the match from close range.
The visitors sealed victory and another three points seven minutes later when Bradley Wright-Phillips found himself with space in front of goal and he had no trouble slotting the ball home from 15 yards.