Leon Dajaku and Niall Huggins both played 90 minutes for Graeme Murty’s side, yet the hosts found themselves three goals down at half-time.
After a tough 45 minutes, Sunderland did improve after the break, as Huggins’s cross from the right was headed into his own net by Southampton defender Olly Lancashire.
Murty’s side will now prepare for a trip to Wolves in the league next week.
Here’s how each player fared against Southampton:
1. Jacob Carney - 5
Caught out for the second goal as he was closed down quickly. Claimed a few crosses to relieve some pressure. 5 Photo: Frank Reid
2. Niall Huggins - 6
Had a few problems on his flank in the first half but was confident when trying to step out with the ball. Another valuable 90 minutes under his belt. 6 Photo: Frank Reid
3. Zak Johnson - 6
Was a vocal figure in Sunderland’s defence and tried to step out with the ball when it was possible. 6 Photo: FRANK REID
4. Ben Crompton - 5
Gave away the penalty in a difficult first half. Was more settled after the break. 5 Photo: FRANK REID