Ryan Bertrand gave the Saints the lead, but Demarai Gray and a last-minute winner from Harry Maguire earned the Foxes three hard-fought points after Pierre-Emile Hojbjerg had been dismissed for Southampton in the closing stages.
Chances were few and far between during the early proceedings on the south coast, with the first opening of the game not coming until the 15th minute as Wilfred Ndidi headed over from a corner.
Both teams were looking a threat from set pieces, and Southampton could have edged in front through Jannik Vestergaard who headed marginally wide of the post.
Ndidi showed his threat from long distance with a strike which narrowly missed the corner while at the other end, Danny Ings was denied when Kasper Schmeichel dived to his right to keep the Foxes on level terms.
However, Southampton returned for the restart ready to go on to the front foot, and it took just seven minutes for Bertrand to put the Saints in front.
The left-back picked up the ball from distance before drilling a shot into the top corner of Schmeichel's net for just his fourth league goal in 110 appearances for Southampton.
Gray soon had Leicester back on level terms, however, as the winger fired a low shot into the corner for his first goal of the campaign.
Chances began to dry up again as the match progressed past the hour mark, but Leicester were provided with a boost for the final 15 minutes when Hojbjerg was sent off for a second yellow card.
The East Midlands outfit soon began to press for a winner and Ben Chilwell was only denied by a fine stop by Alex McCarthy after a fine individual run, but Leicester managed to find the decisive goal midway through four minutes of added-on time.
Maguire was provided with the opportunity to move towards goal and the centre-back took his chance to send a shot - albeit deflected - into the net from 25 yards out to earn a second successive win for Claude Puel's side.
SOUTHAMPTON (4-2-3-1) McCarthy; Soares, Vestergaard, Hoedt, Bertrand; Hojbjerg, Lemina; Elyounoussi (Romeu 79'), Ings (Austin 69'), Redmond; Long (Armstrong 86')
LEICESTER CITY (4-2-3-1) Schmeichel; Amartey, Chilwell, Morgan, Maguire; Mendy, Ndidi; Pereira, Gray (Okazaki 88'), Maddison (Ghezzal 78'); Iheanacho (Albrighton 67')