Leicester City 3 Southampton 2
Darius Vassell put the Foxes ahead after three minutes after connecting with Andy King's deflected cross at the near post, before Richie Wellens doubled Leicester's advantage with a sublime curling strike from 25 yards.
Dan Harding pulled a goal back for the visitors just before the half-hour mark by heading in Adam Lallana's cross, but Rickie Lambert's own goal in first-half stoppage time restored Leicester's two-goal cushion.
David Connolly's header after the break ensured a nervy final 30 minutes for Sven-Goran Eriksson's side but Leicester held on for the win, ending Southampton`s 100 percent start in the process.
The Foxes rode their luck at times after a wonderful display by Saints' playmaker Adam Lallana but defended admirably at times to claim their first three points at the King Power Stadium this season.
The hosts were ahead in the third minute when Andy King's dangerous ball into the area took a slight deflection before finding its way into the path of Darius Vassell at the near post, who was on hand to steer the ball past goalkeeper Kelvin Davis for his first goal of the season.
It was a dream start for Leicester, and very much deserved for showing no fear of the visitors who started the day at the top of the Championship table.
The Foxes then lost David Nugent to injury just moments later and was replaced by Jeffrey Schlupp, who had shone in Leicester's Carling Cup campaign to date with four goals in two games.
Leicester continued to threaten with Andy King heading over and captain Matt Mills forcing Kelvin Davis into making a great save.
But Southampton should have been level when Jack Cork's had broken behind the Foxes' defence, but Sol Bamba did just enough to thwart his effort.
The Saints seemed most likely to score next, but it was the home side who extended their lead when Jeffrey Schlupp teed up Richie Wellens on the edge of the area, whose exquisite curling strike into the top corner from 25 yards gave Kelvin Davis no chance.
The goal came against the run of play but it was a fine strike from the former Doncaster man who had enjoyed a strong start to the game.
Southampton were back in the game six minutes later when Adam Lallana's mazy run on the right-hand side of the penalty area caused John Pantsil to lose his footing, and the subsequent cross picked out Dan Harding free inside the area to nod the ball past Kasper Schmeichel at the near post.
The goal was well worked but also exploited Leicester's frailties at the back; an issue which concerned Foxes fans during the second-half of last season.
Leicester responded well and came close to restoring their lead when Gelson Fernandes met Andy King's cross, but his header was well-saved by Kelvin Davis.
Paul Konchesky tested Davis with a free-kick before Jeffrey Schlupp was thwarted inside the penalty area by Jose Fonte's well-timed sliding tackle.
At the other end, Matt Mills' important challenge prevented Adam Lallana from equalising - and in first-half stoppage time, Leicester restored their two goal cushion when Neil Danns' corner was headed into the Southampton net by Rickie Lambert after pressure from Sol Bamba.
The visitors will have felt aggrieved as replays suggested that Bamba had climbed on Lambert to force the own goal, but it seemed like Leicester's luck had finally changed as the referee waved away the Saints' protests to end an action-packed opening 45 minutes.
The second-half continued at a similar pace with Paul Konchesky again coming close with a free-kick, but Southampton came out firing on all cylinders and only a fine save by Kasper Schmeichel prevented Guly Do Prado's powerful strike from reducing the deficit.
But from the resulting corner, the Saints pulled a goal back when former Leicester man David Connolly met Adam Lallana's in-swinging cross with a far post header.
With their tails up, Southampton began to increase the pressure on the home side in search of an equaliser, but Matt Mills' fearless block prevented substitute Morgan Schneiderlin from finding an equaliser.
Mills then denied Adam Lallana before Kasper Schmeichel somehow denied David Connolly's strike at the near post, which seemed certain to creep into the net.
With time running out, Rickie Lambert and Daniel Fox combined to send Adam Lallana clean through on goal, but Schmeichel raced off his line to make another fantastic save and keep the Foxes ahead.
With four minutes remaining, Schmeichel again used his big frame to deny the energetic Lallana from point-blank range after a good low cross from Daniel Fox.
An injury-time block from John Pantsil again denied Lallana who thoroughly deserved a goal on the day, and Leicester held on until the final whistle for their first home win of the season.
It was a huge win for Leicester who showed tremendous character to withstand enormous pressure from the visitors, and an important three points for Sven-Goran Eriksson find themselves tenth in the Championship before the international break following an inconsistent start to the season.
Man of the Match - Kasper Schmeichel