Saints were held to a goalless draw in a fiercely-contested encounter with newly-promoted Watford on Sunday afternoon.
Ronald Koeman’s men generally had the better of the play but few concrete chances, while the Hornets spurned a golden opportunity midway through the second half when Étienne Capoue headed over from barely a yard out.
The Saints boss had made two changes to the side that lined up against FC Midtjylland on Thursday, with Cédric Soares and Steven Davis returning to the side.
That meant the visitors adopted a 3-5-2 formation, with Graziano Pellè and Sadio Mané paired up front.
The opening quarter-hour was fiercely contested but ultimately one of few chances, other than a shot from Watford’s Allan Nyom that the right-back pulled across the box and well wide.
Saints carved out an opportunity of their own with 17 minutes on the clock as Oriol Romeu won the ball on the edge of his own box before setting Mané free but, after a searing run forward, his cut-back fell short of reaching Pellè.
Steven Caulker, playing on the right of a three-man defence, then lashed a shot wide from a tight angle after overlapping Cédric nicely.
The visitors were dealt a blow on 25 minutes when Mané was forced off with an injury, with Shane Long on as his replacement.
There was an almost-immediate chance for the Irishman as he cut into the box and onto his left foot, but his weak effort was held by Hornets goalkeeper Heurelho Gomes.
Long turned provider just after the half-hour when he held the ball up on the right before crossing for Pellè, who flicked his header wide.
Saints continued to create opportunities, with Caulker going close seven minutes before the break as his thumping header from Davis’s corner was held well by Gomes.
The half ended with Hornets winger Ikechi Anya flashing the ball dangerously across the face goal, but captain Troy Deeney failed to make contact at the back post.
Watford made a change at the break, bringing on former West Ham forward Alessandro Diamanti for his debut in place of José Holebas, meaning the impressive Anya moved to left-back.
It was Saints, though, who had the first chances of the half as Davis played in Pellè, whose thumping effort was tipped wide before the resulting corner was headed just over by Long.
The best chance of the game came on the 65-minute mark as Diamanti’s corner was flicked on by Deeney to find Étienne Capoue a yard out, but the Frenchman somehow headed over Maarten Stekelenburg’s goal.
Saints responded well, with Victor Wanyama seeing a low drive saved before Pellè headed down for Cédric, whose spectacular effort flew just over.
Koeman’s final throw of the dice saw him replace Pellè with Jay Rodriguez for the final ten minutes, and the forward had a quick chance but his looping header from Cédric’s cross was held by Gomes.
Wanyama and Long then both had speculative shots go off-target, while Watford substitute Ben Watson also lashed one over as the contest threatened to peter out.
Saints will take encouragement from recording their first clean sheet of the league campaign, but the wait for their first win goes on.
Watford: Heurelho Gomes, Allan Nyom, Craig Cathcart, Sebastian Prödl, José Holebas (Alessando Diamanti 46), Étienne Capoue, Valon Behrami (Ben Watson 85), José Manuel Jurado, Odion Ighalo, Ikechi Anya, Troy Deeney (c). Unused substitutes: Giedrius Arlauskis (GK), Miguel Britos, Fernando Forestieri, Miguel Layun, Almen Abdi.
Southampton: Maarten Stekelenburg, Cédric Soares, José Fonte (c), Steven Caulker, Maya Yoshida, Matt Targett, Victor Wanyama, Oriol Romeu, Steven Davis (James Ward-Prowse 72), Sadio Mané (Shane Long 25), Graziano Pellè (Jay Rodriguez 79). Unused substitutes: Kelvin Davis (GK), Dušan Tadić, Cuco Martina, Juanmi.
Booked: Wanyama (28), Romeu (57)
Referee: Andre Marriner
Attendance: 20,166 (1,938 away fans)