David Silva had his first-half penalty saved before Carlos Tevez finally breached the Saints' back line five minutes before the break.
Rickie Lambert equalised as the hour mark approached before another Saints substitute, Steven Davis, repeated the trick midway through the half after a counter-attack sparked by a poor pass from new City signing Jack Rodwell.
Southampton's hopes of beating the champions upon their return to the Premier League after seven years away lasted all of four minutes before Edin Dzeko grabbed an equaliser. Samir Nasri then netted with 10 minutes remaining after a mistake by Danny Fox to register a win by the same scoreline as his team's last home game – the dramatic late victory over QPR which saw them claim the title.
The victory was another thrilling one for City fans to enjoy, but the main concern for those at the club will now be the welfare of Sergio Aguero. The striker, whose late goal on the final day won City the title last season, was stretchered off with a knee injury after a quarter of an hour following a challenge from Nathaniel Clyne.
City manager Roberto Mancini started with £12 million summer signing Rodwell alongside Yaya Toure in midfield, while Tevez started up front alongside Aguero.
Southampton manager Nigel Adkins pulled a couple of surprises with his first teamsheet as a top-flight manager, preferring Jay Rodriguez up front to last season's top scorer Lambert and handing a first league appearance to 17-year-old midfielder Jack Ward-Prowse.
That Argentine double act was broken up early on, however, when Aguero's run down the left was halted by a well-timed recovering tackle from Clyne, making his Southampton debut following his move from Crystal Palace. Aguero appeared to hurt his knee as the fair challenge was made, and after a few minutes of treatment he was taken away on a stretcher.
City confirmed after the match that Aguero would undergo an MRI scan to assess the extent of the damage, and they would have the result in a couple of days.
Mario Balotelli had initially been the player to warm up when Aguero first went down, but Mancini eventually brought on Dzeko instead.
Moments later Tevez won a penalty when he coaxed Jos Hooiveld into tripping him with a nimble turn inside the box. Silva was the man to place the ball on the spot, but his poor attempt had neither the power nor the placement to trouble Kelvin Davis.
Southampton centre-backs Hooiveld and Jose Fonte led the visitors' defence well, and there was a big question of offside when they were eventually beaten on 40 minutes. Tevez looked to be marginally past the last defender as he began his chase for Nasri's clipped ball down the left, but there was no questioning the clinical near-post finish the striker dispatched.
As City began the second half just as dominantly, Adkins rolled the dice and brought on the striker whose goals had been such a major part of the club reaching the top flight via back-to-back promotions. Lambert took just three minutes to open his Premier League account when he instinctively pounced on a loose ball on the edge of a box and curled a fine finish out of Joe Hart's reach.
Adkins then followed that change with another by bringing on former Aston Villa and Fulham midfielder Steven Davis, a summer acquisition from Rangers who had more Premier League experience than anyone else at the club. The Northern Irishman took even less time to get on the scoreboard when he lashed home a low strike past the England keeper on 68 minutes.
Mancini responded by finally introducing Balotelli with 18 minutes left, and immediately following that change Dzeko levelled after Yaya Toure's shot from range following a corner fell kindly for him to finish from close range.
After a frenetic period of end-to-end action the match was settled by an unfortunate error from Fox, who inexplicably headed Gael Clichy's cross back across goal allowing Nasri to finish for the winner on 80 minutes.
Adkins brought on Billy Sharp but he could not make it a hat-trick of scoring substitutions, but even in defeat he and his side can take many positive points from their visit to the champions after seven years out of the top flight. The real hard work for them will start next Saturday when they host Wigan Athletic at St Mary's.