Saints picked up all three points in their opening game of the 2013/14 Barclays Premier League season, a feat they had achieved only once in their 14 previous attempts, as they also ended a run of just one win against the Baggies in eight matches.
Lambert showed unerring confidence to convert from the spot for his 32nd consecutive success from the penalty spot in all competitions wearing Saints colours, to earn a respectable win away from home.
The spot kick arrived just before the allocation of stoppage time, after Luke Shaw was brought to ground by Youssouf Mulumbu in the dying embers of a fiercely competitive encounter, which Saints had edged with a solid performance behind a patient approach in attack, that in the end, reaped its reward.
Mauricio Pochettino included 18 year-old Calum Chambers in the starting eleven, with the youngster starting at right back for his first competitive senior start, and a Barclays Premier League debut.
Luke Shaw was fit enough to return to action after coming off injured in the final match of pre-season against Real Sociedad seven days earlier. James Ward-Prowse also started in midfield, joining Shaw, Chambers and Lallana as four outfield players from the Saints Academy, starting in a top-flight fixture.
There were also debuts for summer signings Dejan Lovren and Victor Wanyama, whilst last season’s top scorer, Rickie Lambert - who also scored for England in midweek - led the line.
West Brom handed a debut to striker Nicolas Anelka, while another addition in the shape of on-loan Udinese forward Matej Vydra, was named amongst the substitutes for the hosts.
Saints got the first match of the new season underway with Rickie Lambert and Morgan Schneiderlin taking the initial touches to get the campaign started, backed by a large roar from the away end at the Hawthorns on a bright and clear day in the Midlands.
The visitors made a patient opening to the contest, passing the ball around with poise and determination to not let the Baggies settle.
Within the opening five minutes, Saints won two corners, one on either side, as they attacked with purpose.
James Ward-Prowse was on set piece duty, and his deliveries gave Albion a few nervous moments with some direct balls into the area, the latter of which, lambert almost profited from at the far post as he tried to convert from six yards.
Saints continued to impress from there, with Wanyama catching the eye in midfield as part of an energetic performance from the away side. The pulsating breaks forward were typified in the eighth minute by Luke Shaw’s burst into the area on the left, where his cross was almost diverted past Ben Foster by defender Gareth McAuley.
West Brom’s first attempt on goal came in the 12th minute when a corner was cleared as far as midfielder James Morrison, whose ambitious volley caught Artur Boruc by surprise as the ‘keeper shovelled it out for another corner.
Ward-Prowse then took aim from range with a sublime dipping effort that Foster scrambled across to save, though it would have taken something very special to have beaten the Baggies ‘keeper from over 30 yards out.
At the end of a competitive opening 20 minutes, Saints appeared to be turning the screw in attack, and were desperately unfortunate not to find the target on the back of another Ward-Prowse free-kick which bounced around inside the area. The pinball effect continued further as both Lallana and Lambert each swung a boot to try and test Foster, but neither were successful.
Up to the half hour, Saints returned to a spell of keeping the ball through midfield, but more often than not, the final pass let them down, with aerial deliveries playing into the hands of Albion’s giant centre half pairing of Jonas Olsson and Gareth McAuley.
On 33 Saints had the ball in the net when Lambert’s header from a Chambers cross to the far post was looping towards goal, and tucked away by Lallana inside the six yard box, but the skipper was in an offside position as he knocked it over the line.
Albion responded with a free-kick around 25 yards from goal which Graham Dorrans lined up to shoot from, and his effort just cleared the top of the bar as it landed on the roof of the net.
In the 41st minute, Rodriguez chased Lovren’s punt forward as the visitors looked as though for the first time they were going to get in behind the Albion defence, but the pass was just a little too heavy for the striker who couldn’t connect to the ball.
Saints went closer as the half-time whistle approached when a swift break led by Lallana, found its way to Shaw, who hit a rasping drive towards the near post, which Foster just managed to push behind for a corner.
The set piece came to nothing, as the first half came to a close with the match goalless going into the break.
HALF-TIME: WEST BROMWICH ALBION 0-0 SOUTHAMPTON
The second 45 didn’t take too long to warm up, with Saints again looking the more likely to open the scoring, with Rodriguez running through to win a corner , which was followed up by Lambert connecting a header to Ward-Prowse’s cross, which Foster smothered.
A fierce strike from Rodriguez smacked the crossbar on 52 minutes, but play was called back for an infringement involving Lallana on the edge of the area in the build-up to the strike just inside the area.
The contest became more hard-fought as Albion came to life thereafter, even coming close to breaking the deadlock through a wonderful bit of skill from Shane Long, whose clever back-heel on Liam Ridgewell’s cross crept just wide of Boruc’s right post.
With rain now descending onto the surface, Saints searched through the middle for a breakthrough strike as Lambert almost played Rodriguez into the area, but Foster was quickly off his line to cover the danger.
Saints were grateful to Lovren moments alter however, when the Croat slid in impeccably to thwart Nicolas Anelka as the Frenchman bore down on goal.
Chambers was next to make a vital interception though he knew little about it as the ball bounced off his trailing leg to deny Morrison from close range as the Albion player tried to convert Anelka’s cross.
Pochettino introduced Gaston Ramirez to the action in place of Lallana in the 69th minute, with Lambert taking over the captain’s armband for the final 20 minutes or so of action.
Foster survived a brief scare in the Albion goal soon after as he misjudged Olsson’s backpass, but fortunately for him, he was able to rescue the ball before it went out of play.
At the other end, Boruc collected a cross well under pressure from Anelka once more, with Saints continuing to frustrate their opponents.
Billy Jones went into the book for a lunge on Rodriguez, with the Albion man joining McAuley and Ridgewell in having his name taken by the match official.
Rodriguez was replaced by Steven Davis for the final quarter of an hour, with Ramirez moving further forward to support Lambert for the remainder of the game.
West Brom were again guilty of dallying in the final third when they tried to present Anelka with an opportunity to score, and moments later, the Baggies responded by replacing both front men as Long and Anelka were switched for Matej Vydra and Markus Rosenberg.
Neither Baggies replacement could get a touch of the ball before Saints were awarded a penalty when Youssouf Mulumbu tripped Luke Shaw inside the box.
The man of the moment, Rickie LAMBERT stepped up to slam the ball into the bottom left corner to send over 2,000 away supporters behind the goal into raptures.
Four minutes of additional time were added on for stoppages, during which time, Boruc made a superb save to deny Jones by springing across to push the header out for a corner, in the best chance Albion could muster during a frenetic final few minutes.
Jack Cork replaced Ward-Prowse to eat up some of the additional time, which was played out with no further chances for either side.
FULL-TIME: WEST BROMWICH ALBION 0-1 SOUTHAMPTON
WBA team: Ben Foster; Billy Jones, Gareth McAuley, Jonas Olsson (c), Liam Ridgewell; James Morrison, Youssouf Mulumbu, Claudio Yacob, Graham Dorrans; Nicolas Anelka (Markus Rosenberg 83), Shane Long (Matej Vydra 83).
Unused substitutes: Boaz Myhill (GK), Chris Brunt, Craig Dawson, Saido Berahino, Goran Popov
Southampton team: Artur Boruc, Calum Chambers, Jose Fonte, Dejan Lovren, Luke Shaw, Victor Wanyama, Morgan Schneiderlin, James Ward-Prowse (Jack Cork 90), Adam Lallana (c) (Gaston Ramirez 69), Jay Rodriguez (Steven Davis 77), Rickie Lambert.
Unused substitutes: Kelvin Davis (GK), Nathaniel Clyne, Emmanuel Mayuka, Jos Hooiveld
Referee: Kevin Friend