Walcott, a 16-year-old with a £6million price-tag on his head already, showed why with a breathtaking display of pace and trickery after coming on in the 60th minute to replace Nathan Dyer.
At that stage the match was delicately poised at 1-1 as the Dons fought back determinedly.
The match looked to be comfortably Southampton's when David Prutton scored in the 40th minute after a superb dummy had let him in.
But the Dons were level on the hour when a shot from Wade Small was parried by Paul Smith into the path of Claus Lundekvam, running back towards his own goal, and there was nothing the Norwegian could do to avoid putting the ball into his own net.
On came Walcott and he made an immediate difference. The Dons fans were still celebrating when Walcott scampered down the right and pulled back a perfect pass into the path of Nigel Quashie who blasted in from ten yards.
Walcott got on the score-sheet in the 66th minute, seizing on a collision between goalkeeper Matt Baker and Dean Lewington to shoot into an empty net.
But Southampton were still a long way from victory and the determined Dons fought back to score again in the 79th minute when substitute Nicholas Rizzo's free-kick was deflected past the stranded Smith by a defender in the wall.
Chris Baird cleared off the line from another substitute, Aaron Wilbraham, but the Dons were not to be denied for long.
In the 84th minute Wilbraham flicked the ball on and Gareth Edds scored with a fierce left-foot shot which Smith got a hand to but could not stop.
But just when a replay looked certain, and after Baker had twice made outstanding saves from the on-rushing Walcott, Southampton grabbed a winner.
Once again Walcott was involved, pulling the ball back from the right for Blackstock to tee up Darren Kenton whose low shot took a deflection before beating the luckless Baker.