Southend started the brighter of the two sides and went ahead when Jacob Murphy robbed Matt Done of the ball and squared a pass for Barry Corr to convert from close range.
The home side nearly got back in the game immediately when Done tried to atone for his error, but his shot from distance was well saved by Dan Bentley, who tipped the ball past the post.
Rochdale were beginning to up the ante and were inches away from an equaliser when Ian Henderson fired an effort at goal, only to see his shot crash of the crossbar.
Just before the break, Southend did get their second goal when Will Atkinson broke upfield and miscued his shot, but it fell into the path of Murphy who slotted the ball home.
Southend nearly made it four when Ryan Leonard picked up the ball 35 yards from goal and he blasted an effort which cannoned off the crossbar and went over.