In a dizzying case dejau vu, Southampton let slip a two-goal lead having done so 11 days ago when Derby forced a replay.
Stuart Armstrong and Nathan Redmond scored within two minutes of one another, before Harry Wilson and Martyn Waghorn would draw Derby level eight minutes from full-time, with the game finishing 2-2.
Redmond had the best chance for either side to break the deadlock in the 111th minute, but Kelle Roos made a tremendous save in a one-on-one situation to deny the winger.
After Waghorn and James Ward-Prowse each converted their penalties in round one, former Portsmouth man David Nugent fired past Angus Gunn whilst Redmond blasted his attempt over the bar.
Rams skipper Richard Keogh then sealed Southampton’s exit from the competition, as the visitors converted all five of their attempts from the spot.
Southampton: Gunn, Ramsay (Targett 110), Vestergaard, Stephens, Cedric, Romeu, Ward-Prowse, Johnson (Redmond 46), Armstrong (Slattery 91), Elyounoussi, Long (Gallagher 73).
Unused subs: McCarthy (GK), Bednarek, Targett, Barnes.
Goals: Armstrong (68), Redmond (70).
Bookings: Johnson (16), Cedric (75).
Derby County: Roos, Bryson, Tomori, Keogh, Wilson (Bennett 102), Mount, Waghorn, Marriott (Nugent 76), Bogle (Holmes 94), Huddlestone (Lawrence 80), Malone.
Unused subs: Carson (GK), Evans, Lowe.
Goals: Wilson (76), Waghorn (82).