Keen to put their League One woes to one side for the night, they were unable to register a famous victory over their Premier League opponents - despite a passionate performance in front of an equally impassioned Fratton faithful.
Two pieces of first-half brilliance from Danny Ings cancelled out an impressive opening 45 minutes that saw the Blues dominate their top-flight opponents.
And the same could be said for the second period, with late goals from Cedric and substitute Nathan Redmond proving harsh on a Blues side who looked nowhere near a side 51 places below Southampton in the football league ladder.
Kenny Jackett will have been pleased with what he saw from his side.
Southampton’s quality came through in the end - but they knew they had been in the battle as Fratton Park and the players did everyone proud at PO4.
With the rain pouring it down at Fratton Park, the Blues made a storming start to the game - but unfortunately without scoring.
A poor crossfield ball from the visitors was latched on to by the lively Ryan Williams, who immediately picked out the run of Marquis.
The striker was running away from goal but produced a stunning early effort that just went wide of Alex McCarthy’s near post.
Marquis, who was clearly up for the battle, saw another shot blocked one minute later as Pompey put Southampton under pressure.
And as the visitors struggled to cope with the home onslaught, they breathed a huge sigh of relief when McCarthy got the slightest of touches to tip Brett Pitman’s rasping effort over the bar.
The start Pompey had made was just what was hoped for after a disappointing outing at Wycombe at the weekend.
The Blues’ dominance was reinforced on 18 minutes when Pitman’s flicked header from Brandon Haunstrup’s corner-kick required another fine save from McCarthy.
The ball remained loose, though, and the keeper was needed again to prevent Christian Burgess from tapping home from close range.
With their side clearly on top, the Fratton faithful were drowning out those away 1,981 supporters in the Milton End.
However, those roles were reversed on 21 minutes when Ings gave Southampton the lead against the run of play.
His initial shot was saved by Craig MacGillivray, but he found room on the edge of the box from the rebound and cooly placed the ball into the bottom corner of the net.
It was a harsh blow for the Blues, who could have caved in against their Premier League visitors, especially when it required the impressive Oli Hawkins to deny Pierre-Emile Hojbjerg when he was given the freedom to shoot.
Yet they stuck to the task and remained committed to the cause, with Burgess and then Marquis both failing to find the target when well placed.
A single goal looked to be the difference as half-time approached - that was until another piece of Ings brilliance gave Southampton breathing space.
The former Liverpool man was played through on goal by Michael Obafemi before delicately lifting the ball past the onrushing MacGillivray.
The second half began just like the first, with Pompey on top and the hosts desperate to reward the home fans’ passion in the stands.
Haunstrup’s powerful run down the left flank saw him pick out Ronan Curtis inside the box on 48 minutes, but the Irishman delayed shooting and the visitors managed to clear the danger.
Minutes later, Curtis again found himself with the goal in his sights.
This time he managed to shoot through a crowded penalty box from the angle, yet Southampton had men on the line to once again clear.
Jackett’s side were dealt a blow when Hawkins had to be replaced by Paul Downing in the centre of defence, with the defender picking up an injury.
Yet they kept up the pressure on their top-flight opponents, with Curtis again being picked out.
But for a third time, he was denied as Southampton got men back and the ball was diverted for a corner - from which McCarthy’s out-stretched arm relieved the pressure.
Once again it was all the hosts, yet that counted for nothing when Southampton again scored on the counter-attack.
With 77 minutes on the clock, James Bolton failed to match the run of Ings and he managed to lay the ball back to Cedric, who fired home to make it 3-0.
And just like the first period, the visitors claimed a second goal after the break when substitute Nathan Redmond was put through to smash the ball past the unlucky MacGillivray.
That sent Southampton fans wild in the Milton End.
But just like those Blues players on the pitch, that prompted yet more passion from the Fratton End.
And as the final whistle blew on the south-coast derby, those fans stayed loyal to their team, drowning out those in the away end with their Pompey pride.
Pompey: Craig MacGillivray, James Bolton, Oli Hawkins (Paul Downing 54mins), Christian Burgess, Brandon Haunstrup, Tom Naylor, Ben Close (Ross McCrorie 81 mins), Ryan Williams (Gareth Evans 77mins), Brett Pitman, Ronan Curtis, John Marquis. Subs: Alex Bass, Anton Walkes, Andy Cannon, Leon Maloney.
Southampton: Alex McCarthy, Cedric, Maya Yoshida, Jan Bednarek, Ryan Bertrand, Pierre-Emile Hojbjerg, Oriol Romeu, James Ward-Prowse, Che Adams, Danny Ings (Shane Long 82 mins), Michael Obafemi (Nathan Redmond 71 mins). Subs: Angus Gunn, Jack Stephens, Stuart Armstrong, Sofiane Boufal, Yan Valery.
Referee: Kevin Friend.