A Luke Chambers header in the 86th minute and a scrambled injury time effort from Robert Earnshaw edged them to three points after it had seemed the Saints had done enough for a draw.
Bradley Wright-Phillips had fired the visitors into a first-half lead with a neat, slotted finish, before a spectacular strike from Joe Garner hauled the Reds level with 17 minutes to play.
But Forest's will to win was the greater and they extended their unbeaten run to six matches.
It was relegated Southampton who had the greater menace in the opening stages with Jason Euell heading against the foot of the post and David McGoldrick firing the rebound narrowly wide.
A cleverly worked free-kick routine then saw Jan-Paul Saeijs drive a powerful shot through a melee of players that Paul Smith did well to get his body behind.
But it was no surprise when the Saints did take the lead in the 16th minute as a clever ball from Adam Lallana sent Wright-Phillips racing clear to slot a simple low finish beyond Smith and into the bottom corner.
Earnshaw was at the centre of Forest's response as he enjoyed three good chances in the space of five minutes.
The striker had a shot deflected wide following good work from Dexter Blackstock, bent another effort the wrong side of the post with the outside of his boot and had a header saved adeptly by Kelvin Davis.
It was still Smith who was the busier keeper though, with the Forest man standing tall to parry a driven shot from Lloyd James.
Forest came close to an equaliser before the break as Lewis McGugan sent Chris Gunter angling into the box from the right where his cross-cum-shot flew right across the face of goal without being converted.
Earnshaw pressured the Southampton goal again in the 58th minute but was again narrowly off target with a clever chip after his probing run had been picked out by Guy Moussi.
Substitute Paul Anderson forced a stooping stop from Davis after connecting crisply with a 25-yard volley with what was his first touch of the ball.
But the keeper was helpless as another substitute, Garner, lofted an outstanding lobbed finish over his head after striking the ball as it dropped over his shoulder on the edge of the box to pull Forest level in the 73rd minute.
And Forest ensured they were to have a positive finale to the campaign as a towering Chambers header from a Chris Cohen corner put them ahead with four minutes left.
Smith had to produce an outstanding save as McGoldrick fired the ball powerfully goalwards from close range with the keeper acrobatically forcing the ball around his near post.
But Earnshaw made certain of the win as he bundled home the loose ball after Davis had produced a fine save to thwart Arron Davies.