Romelu Lukaku continued his fine international form by breaking the deadlock from the penalty spot, with England conceding for the first time since a loss in the Czech Republic exactly a year ago.
But the Three Lions would enjoy their fair share of luck and levelled through a penalty of their own, Marcus Rashford toasting his MBE with the equaliser, before Mason Mount’s deflected effort earned a 2-1 victory.
The win takes England above their visitors and top of Group A2 as they look to repeat their feat of reaching the inaugural finals last summer.
Ahead of the game, Manchester City and Belgium playmaker Kevin De Bruyne had backed England to be in the running for major tournament silverware in the coming years and, while the performance needs honing, the result at least suggested he may have a point.
Belgium boss Roberto Martinez had got the better of Southgate twice during the 2018 World Cup, winning a dead-rubber group game and the third-place play-off.
But this time England secured victory over the team currently ranked best in the world, despite Harry Kane only being fit enough for the bench and Raheem Sterling out altogether through injury.
England thought they had fallen behind inside the opening 10 minutes, only for Yannick Carrasco’s crisp finish to be ruled out for offside against Thomas Meunier in the build-up.
It was a short reprieve for the hosts, who conceded a penalty just five minutes later, Lukaku bursting into the box before being felled by Eric Dier.
Referee Tobias Stieler took his time but eventually pointed to the spot, with former Everton and Manchester United forward Lukaku dusting himself off before thrashing the spot-kick past Jordan Pickford.
Belgium were beginning to take control of proceedings and De Bruyne forced Pickford into a low save as the Red Devils captain latched on to a loose touch from Rashford.
Meunier’s skewed strike left Pickford scrambling across his goal, but the effort squirmed wide, with England unable to keep possession.
England slowly worked their way into the game and were awarded a soft penalty of their own as Meunier was adjudged to have pulled down Jordan Henderson at a corner.
Rashford stepped up and made no mistake, sending Simon Mignolet the wrong way get England back on level terms.
Carrasco missed a decent chance after the ball found its way through to his feet and, despite being second best for much of the first half, England went in level at the interval.
They wanted another penalty soon after the restart when Dominic Calvert-Lewin, starting in attack in placed of Kane, went down under pressure from Jason Denayer, but this time Stieler was unmoved.
England were growing as an attacking threat, playing almost solely on the break, and that was the way they took the lead.
There was more than a hint of good fortune about Mount’s goal, the Chelsea man collecting Kieran Trippier’s knockdown and seeing his curling strike deflect off Toby Alderweireld and loop up over Mignolet.
Although he had just seen his side take the lead, Southgate introduced captain Kane from the bench alongside Kalvin Phillips.
De Bruyne’s final action of the night before also being substituted was to play a defence-splitting pass through to Carrasco, who could only shoot wide as Pickford closed down the space.
Kane passed up the opportunity to wrap up the win as he headed Trippier’s corner off target from the middle of the goal.
Rashford, too, missed a fine chance, exchanging passes with Declan Rice before arrowing a shot over the bar to give hope to the visitors.
But England held on to secure a hard-fought victory in front of an empty Wembley, with Denmark the next team to visit in three days’ time.