Goals from Shefki Kuqi, Craig Beattie and Paul Ifill secured Palace's fourth win in five games, but the home side didn't have it all their own way with the Saints playing some attractive passing football without seriously threatening the Eagles rearguard.
The game started at a blistering pace and Nick Carle should have given Palace the lead inside the opening minute but was denied by a brilliant last-ditch challenge from Chris Perry.
Then two minutes later, the Saints had a strong penalty turned down when Ben Watson, who worryingly for Palace was replaced on 30 minutes with what looked like a groin injury, appeared to have tripped David McGoldrick in the box only for referee Mr Deadman to wave play on.
Kuqi dealt a more decisive blow in the eighth minute after coolly lobbing Kelvin Davis from 15 yards after some poor defending from Alex Pearce.
Palace doubled their lead in the 15th minute after Beattie thumped a half-volley past Davis after Southampton failed to cope with a Watson corner.
The away side started to inch their way back into the game first through Bradley Wright-Phillips, who saw his shot from ten yards bravely blocked by Jose Fonte and then Andrew Surman, who saw his long range effort graze Julian Speroni's right-hand post.
Southampton continued in the same vein in the second period and should have halved Palace's lead in the 58th minute but Surman's lofted effort after Adam Lallana's delightful through ball was cleared just two yards from the goalline by Fonte.
But for all their possession and dominance, the away side couldn't break down Palace's well-organised backline and substitute Ifill made absolutely sure of the points by rifling past Davis after sloppy defending by Lloyd James in the 75th minute.