Chelsea won 4-3 on penalties with Reece James scoring the decisive spot kick.
Adam Armstrong, Shane Long and Oriol Romeu all converted for Southampton. Theo Walcott and Will Smallbone missed their penalties.
Southampton more than held their own against Chelsea in an entertaining, back-and-forth contest.
Chelsea grew more confident as the first half wore on and were rewarded with their play when Kai Havertz headed home from a corner on the stroke of half time.
Saints came out swinging after the break and quickly levelled the score.
Kyle Walker-Peters made a darting run into the box and his shot was saved by Kepa, but Che Adams was on hand to bundle the ball home to equalise.
The second half saw both teams come close to scoring on a number of occasions.
Fraser Forster made a good save from a shot from England international James, while Smallbone, who made his long-awaited return to the Saints first team after recovering from his knee injury, also went close to scoring with a header late in normal time.
In injury time, Kepa saved Chelsea from defeat with two flying saves, denying Lyanco and Mohamed Salisu goals as Saints piled on the pressure with a series of corner kicks.
Spirited performance from Southampton today ahead of a big game against Watford on Saturday.
Chelsea (3-4-2-1): Kepa; James, Chalobah, Sarr; Hudson-Odoi, Kovacic, Saul, Alonso; Ziyech (Mount 67’), Barkley (Chilwell 67’); Havertz
Unused subs: Bettinelli, Rudiger, Jorginho, Thiago Silva, Sharman-Lowe, Vale
Goals: Havertz (44’)
Southampton (3-4-3): Forster; Valery, Lyanco, Salisu; Walker-Peters, Diallo (Romeu 77’), S. Armstrong (Smallbone 77’), Djenepo (Livramento 83’); Tella (Walcott 67’), Adams (Long 66’), A. Armstrong
Unused subs: Lewis, Redmond, Perraud, Bednarek
Goals: Adams (47’)
Bookings: Forster, Diallo, Djenepo