Saints saw off Millwall in Round 2 last night, running out 2-0 victors at The Den courtesy of second-half goals from Jack Cork and Graziano Pellè.
Ronald Koeman’s men will now head to the Emirates Stadium in the third round as they look for a place in the last 16.
Teams involved in European competition enter the tournament at this stage, with 32 sides in all partaking in Round 3.
Arsenal are one of those clubs, with this game therefore the first they will play in this competition since exiting at the fourth-round stage to Chelsea last season.
All third-round ties are to be played during the week commencing Monday 22nd September, with a confirmed date and ticketing details to be announced shortly.