Danny Ings made the breakthrough early in the second period, before Pierre-Emile Hojbjerg struck the away side's second in stoppage time to ensure that Mark Hughes's team would pick up three important points.
It took until the 20th minute for either side to have a clear opening at Selhurst Park. The chance came for Ings inside the Palace six-yard box, but Mamadou Sakho arrived from nowhere to make an excellent block.
A sensational stop from Palace stopper Wayne Hennessey then prevented Hojbjerg from finding the back of the net in the 26th minute as it remained goalless in the capital.
Hennessey came up trumps once again in the 33rd minute to prevent a header from Luka Milivojevic finding the back of his own net, and the two teams were all square at the interval.
Southampton took the lead early in the second period, however, when Ings sprinted behind the Palace defence before expertly finding the bottom corner to continue his strong start to life at St Mary's.
James McArthur struck the crossbar in the period that followed as Palace looked for a leveller, but Southampton had the chance to potentially put the game to bed in the 63rd minute when Wan-Bissaka handled inside the box.
Hennessey, however, continued his fine afternoon by keeping out the resulting spot kick from Charlie Austin, who had only been on the field for three minutes.
Benteke was denied from point-blank range from Southampton goalkeeper Alex McCarthy in the latter stages, but there was to be no nervy finish for the visitors as they doubled their advantage in stoppage time.
Palace's desperation meant that a second for the Saints was always likely, and it arrived in the 93rd minute when Hojbjerg collected a pass from Matt Targett before finding the back of the net to send Hughes's team into the top half of the Premier League table.
CRYSTAL PALACE (4-4-2): Hennessey; Wan-Bissaka, Kelly, Sakho, Van Aanholt; Schlupp (Meyer 76'), Milivojevic, McArthur, Townsend (Kouyate 72'); Ayew (Sorloth 76'), Benteke
SOUTHAMPTON (4-4-2): McCarthy; Soares, Vestergaard, Hoedt, Bertrand; Elyounoussi (Targett 73'), Lemina, Hojbjerg, Redmond; Ings (Romey 78'), Long (Austin 62')