Saints boss George Burley thought his side had done enough to earn a draw at Watford this afternoon.
Leading 2-1 with 10 minutes remaining, Saints lost the Coca Cola Championship game 3-2 to two late goals from striker Darius Henderson.
"We certainly deserved something from the game but, after taking the lead at 2-1, we've given away a very bad second goal defensively.
"Then they've got a break at full-time that won them the match.
"Overall, we competed well. We've had to change a lot of things over the summer, bring new players in, but I think today we've showed we can come to places like Vicarage Road and match teams.
"We dealt with them most of the time but lost.
"We're disappointed but they kept going.
They've got strong runners up front, always dangerous from set-plays, and we knew that would be the case.
"I was disappointed at the manner we conceded the second goal but we have shown that we have progressed since the start of the season.
"I feel that's four good performances in the league but only two wins".
Watford manager Adrian Boothroyd admitted he had mixed emotions.
"I was lost for words at the end because I wanted to go and tear a strip off them for getting us in that position, but then to have that character to come back was pleasing," said Boothroyd.
"It seemed to be a very open game and one we should have taken more control of, but I want to make it a lot easier than that.
"However, it's nice to have the players who have the character to go and do it.
"We did at Wolves (scoring twice in the last three minutes to win) and we've done it here today.
"As the season goes on, you don't get too many of them and we've got to make sure we win games a lot easier than we did.
"Southampton will feel aggrieved because they came here and played very well and they'd have felt it their day".
After riding their luck when Mart Poom's superb reflexes prevented Lee Williamson from inadvertently heading a Youssef Safri free-kick inside the near post, Watford assumed control and, on another day, would have had the match won inside 20 minutes.
Tommy Smith and record signing Nathan Ellington both had chances before an excellent double save from Kelvin Davis denied Smith again and Lee Williamson from the follow-up.
Yet, when Watford's goal did come three minutes before the interval, it came after a spell of Saints domination.
But the visitors were powerless to prevent Dan Shittu heading home at the far post after Smith had capitalised on a poor punch from Davis to stand up a cross.
Saints, though, were back on terms before the break when Grzegorz Rasiak beat Poom with a low shot after being picked out by Dyer's defence-splitting pass.
Both Marlon King and Ellington were denied by Davis as Watford upped the ante after the break, only to be stunned when Nathan Dyer curled home from 25 yards after receiving a pass from Bradley Wright-Phillips.
The Hornets got back on level terms when Smith released Lloyd Doyley and the right-back's low centre was easily converted by Henderson.
With the momentum back in their favour, the Hornets laid siege to the Saints goal and their pressure was rewarded two minutes into stoppage time.
A free-kick from on-loan signing Adam Johnson was headed clear to Gavin Mahon, and his follow-up shot bobbled around before Henderson turned a fired in the winner from close-range.
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