The Seagulls made ten changes to the side that lost 1-0 to Liverpool, with Yves Bissouma being the only survivor.
Southampton also made ten changes to their side that lost 2-1 to Leicester on Saturday.
The Saints almost when ahead in the eighth minute when Mohamed Elyounoussi was denied at close range by Brighton 'keeper David Button before Maya Yoshida's follow-up was cleared off the line.
Brighton's best chance of the game came in the second half when Bissouma drove forward and crossed the ball to Victor Gyokeres whose guided header was tipped away by Angus Gunn.
Southampton looked the more likely side to win the tie and scored the winner in the 87th minute, when substitutes Nathan Redmond and Charlie Austin combined, with the latter heading into the top left corner.
Brighton didn't look like they wanted to win
The Seagulls never looked like they wanted to win the tie. They looked lacklustre going forward and the defence looked a bit shaky.
When looking at the team before the game although it was not one of Brighton's strongest teams, it was an expensive one costing around £60 million.
Manager, Chris Hughton only made the two changes which saw Davy Propper and Aaron Connelly replacing Pascal Gross and Beram Kayal, but he was keen to save his first team squad for Saturday when they entertain Fulham at The Amex.
The eleven that started the game had not played together at all and were a mix of U23's and some new signings and you could see this.
The team struggled to gel and did not really cause Southampton any major problems.
However, Brighton's main focus is the Premier League, survival and potentially improving on last season's fifteenth place finish, so they won't really be too keen on the distraction of a cup run.
Bissouma and Button stood out
Only two players stood out for Albion and they were two of their summer signings, Bissouma and David Button.
Bissouma was skillful and caused problems for Southampton when he ran at them.
He also had a couple of efforts at goal the best one came in the first half when he ran past two and opened up space to shoot, but he fired over the bar.
Button did well making a number of very good saves to deny Southampton.
However, he could not do anything for the goal, as he got a hand to the ball, but not enough to pull it out of the top corner.
The only worrying moment for Button was when he wanted a bit more time on the ball and was robbed by Sam Gallagher. He then squared it to Austin, but Brighton managed to clear the ball off the line.
The result, therefore, could have been worse for Brighton who failed to make much of their tie with Southampton.