Karl Hawley opened the scoring for Preston after 11 minutes when Kevin Nicholls, the Preston captain, put Paul Gallagher through and his shot was only parried by Southampton keeper Kelvin Davis and Hawley slid the ball home right-footed from close range.
Liam Chilvers had a header which went wide and Marek Saganowski had a back header which went over the bar.
Preston left-back Matt Hill was booked for dissent after 25 minutes and Alexander Ostland was cautioned for a foul on Preston right-winger Chris Sedgwick after 34 minutes.
In the third minute of first-half added time Preston conceded a soft goal when a Phil Ifil right-wing cross was met by Saganowski and Billy Jones and the ball ended up in the bottom right-hand corner of the net, headed home by Jones for an own goal.
Preston won a spot-kick in the 57th minute when Ifil fouled Gallagher and Darren Carter took a left-foot penalty which the keeper dived left to parry, but Carter put the rebound home left-footed.
Callum Davidson and Sedgwick were booked for fouls and both teams used all their subs.
Sedgwick made it 3-1 to Preston when Hawley hit a left-wing cross over and Sedgwick headed into the bottom right-hand corner of the net.
Super sub Patrick Agyemang raced on to a Sedgwick pass and chipped the keeper right-footed from ten yards to make it 4-1 and he got his second in the last minute of the game, when a Lewis Neal pass was chipped right-footed by the striker into the bottom right-hand corner of the net.