Despite going in front through an Omar Rowe free-kick on the quarter-hour mark, Southampton were pegged back by two quick-fire goals from a lively Blues line-up.
Alex Davey's 22nd-minute header levelled matters, before Isaiah Brown nodding in for 2-1 not long afterwards to put the Londoners ahead at the break.
The home side started the second half brightly with live-wire Rowe hitting the post not long after the restart.
But, with Saints looking like they were building towards an equaliser, they were hit by a sucker punch on 68 minutes as Lewis Baker's audacious free-kick looped inside the far post.
And victory was sealed two minutes from time as substitute Islam Feruz hit a speculative effort that flew beyond Cody Cropper from the best part of 30 yards.
Coach Martin Hunter made three changes to the team that started the Development Squad's season-opening win over Liverpool on Monday.
Matt Targett and Cody Cropper went into the team after being on international duty with Scotland's Under-19s and the senior United States squad earlier this week.
Also added to the side was winger Lloyd Isgrove, who spent pre-season with the First Team after being a regular for the Under-21s last year.
Chelsea, meanwhile, were skippered by Dutch youth international Nathan Aké, who signed a five-year deal with the Londoners this week after breaking through at senior level last season.
The home side started brightly in front of a decent-sized crowd at St Mary's, with Rowe – scorer of a brace on Merseyside earlier this week – looking particularly dangerous.
However, it was the Blues who fashioned the first real chances of the game. Only a last-ditch challenge from Jordan Turnbull prevented Brown from getting in on goal on 10 minutes, while Cropper had to be at his best to deny Jeremie Boga with a strong left-handed save barely 60 seconds later.
Saints began to reassert themselves and duly took the lead on the quarter-hour mark. Isgrove was chopped down by Aké just outside the Chelsea box, and ROWE saw his deflected left-footer fly past goalkeeper Jamal Blackman.
The hosts immediately went in search of a second goal, and almost found it on 20 minutes as some good interplay between Rowe and Corby Moore teed up Jake Sinclair, but his shot curled wide of the right post.
Chelsea regained their composure and could well have levelled soon afterwards, but Cropper made another excellent save to stop Ruben Loftus-Cheek's close-range shot.
The equaliser did arrive not long afterwards, though, as Lewis Baker's whipped free-kick found the head of centre-back DAVEY, who flicked the ball beyond Cropper and inside the far post.
Chelsea looked to seize the initiative generated by their goal, with Alex Kiwomya twice getting into good positions only to squander the opportunities by shooting off target.
Rowe then slammed a fierce effort into the side-netting, before the visitors set about creating a second goal with a 28th-minute move that began deep in their own half and ended with BROWN heading in Kiwomya's cross at Cropper's near post.
That blow seemed to settle down what had by that point been a frantic encounter, with Saints trying to regain a grip on the game.
They did come close to carving out a chance with five minutes left in the half as right-back Matt Young crossed for Sinclair just inside the Chelsea, but the frontman could not get his shot away.
The first period was extended by a few minutes after Chelsea wide-man Boga went down injured on the halfway line, leading to him being replaced by Scotland Under-21 international Feruz just before the break.
HALF TIME: SOUTHAMPTON U21S 1-2 CHELSEA U21S
Both sides were unchanged at the break, with Saints forcing the first chance of the half as Isgrove cut onto his left only to see his low effort held with ease by Blackman.
Isgrove turned creator on 52 minutes as he weaved his way past a couple of Chelsea defenders and got to the byline, but Moore and Sinclair got in each other's way as they tried to reach the winger's cut-back.
Some good work on the left by Targett then led to Rowe playing a smart one-two with Sinclair, but Saints' opening goalscorer was unlucky to see his fierce shot come back off the near post.
With Southampton clearly growing in confidence, Chelsea manager Dermot Drummy sought to shake things up by bringing John Swift on for Loftus-Cheek just before the hour mark.
Left-back Aké then flashed a shot wide of Cropper's right-hand post, but it was generally one-way traffic as the hosts went in search of an equaliser.
Saints coach Hunter then brought on Ryan Seager – scorer of a late double from the bench against Welling in pre-season – in place of Isgrove, who put in a good shift upon his return to the Development Squad.
Referee Andy Laver had already booked Turnbull for dissent when he chose to caution Targett for the same offence on 67 minutes with the left-back claiming he had not fouled Chelsea winger Kiwomya.
And the visitors immediately rubbed salt in the wound, as central midfielder BAKER stepped up to curl a left-footed free-kick over the head of Cropper and inside the far post for 3-1.
That goal seemed to knock the stuffing out of Southampton, with Chelsea seemingly happy to sit on their two-goal advantage.
Their win was complete on 88 minutes as substitute FERUZ hit an instinctive shot from just shy of 30 yards out that fizzed past the helpless Cropper to make it 4-1.
Both sides were applauded off by the 1,761 fans in attendance, but it will be the visitors who will leave St Mary's the happier side.
Saints, meanwhile, now have one win and one defeat from their first two game of the 2013/14 Barclays U21 Premier League season, and will return to action away at Reading on Monday 26th August.
FULL TIME: SOUTHAMPTON U21S 1-4 CHELSEA U21S
"I'm very disappointed, and so are the players," Hunter told Saints Player
after the game. "We were second-best for the majority of the game.
"We were way below-par. We lost vital one-v-one battles today with some of our more accomplished players.
"All four goals are down to our poor play – there were some individual and group errors – and they were more clinical than we were, so we've been punished.
"Chelsea are a young team, but they moved the ball quicker than us and were more athletic. There are lots of things we need to look at."
Southampton U21s: Cody Cropper; Matt Young, Jack Stephens (c), Jordan Turnbull, Matt Targett; Harry Reed, Jake Flannigan, Corby Moore; Lloyd Isgrove (Ryan Seager 64), Omar Rowe; Jake Sinclair. Unused substitutes: Chris Johns (GK), Fraser Colmer, Jamal Branker, Jason McCarthy.
Goal: Rowe (15)
Bookings: Turnbull (64), Targett (67)
Chelsea U21s: Jamal Blackman, Isak Ssewankambo, Alex Davey, Andreas Christensen, Nathan Ake (c), Lewis Baker, Alex Kiwomya, Ruben Loftus-Cheek (John Swift 58), Isaiah Brown, Jeremie Boga (Islam Feruz 45+3), Lamisha Musonda. Unused substitutes: Mitchell Beeney (GK), Dion Conroy, Fankaty Dabo.
Goals: Davey (22), Brown (28), Baker (68), Feruz (88)
Referee: Andy Laver