Morten Gamst Pedersen put Rovers in front in the first half before an inspired five-minute spell from Steven Reid ensured Mark Hughes' men took maximum points.
An even first half in which neither side created many chances was brought to life in the 11th minute by the impressive Pedersen.
With Saints feeling aggrieved after not being awarded a free-kick when it appeared Graeme Le Saux was impeded, Rovers struck in simple but deadly fashion.
Brad Friedel rolled the ball out to Aaron Mokoena, who sent a 50-yard pass over the head of Rory Delap and into the path of the onrushing Pedersen.
The Norwegian's first touch was as sublime as the finish. He delicately cushioned the ball down before lashing it through the legs of the helpless Paul Smith from an acute angle.
Southampton's best chance of the half on 20 minutes came direct from a corner. Nigel Quashie found the unmarked Henri Camara in the centre but the Senegal international curled a right-foot effort agonisingly wide of the post.
Paul Dickov saw a near-post header well saved by Smith following a vicious Pedersen corner, before Peter Crouch came close at the other end with a volley that found the arms of Friedel from all of 20 yards.
The second half kicked off in blistering fashion with Rovers grabbing two scrappy goals in quick succession to effectively kill off the game.
After 48 minutes Lucas Neill fed Reid down the right and his drilled ball across the face of the goal was turned in by unfortunate Saints defender Andreas Jakobsson.
Seven minutes later it was 3-0. A second successive corner was whipped in from the right by Pedersen, causing all sorts of problems in the visitors' defence as the ball dropped to Dominic Matteo on the edge of the area.
The left-back had time to pick out Reid in the centre and the Republic of Ireland international calmly slotted home from 12 yards.
A delighted Hughes said: "It was the perfect preparation for Cardiff. I thought the players were magnificent. Each and every one of them put in a committed performance today."
The Rovers manager's intentions for more goals in the second half were evident with the introduction of Brett Emerton, Tugay and Jonathan Stead. And it was Emerton who came within inches of making it four midway through the second half.
Neill played a ball over the top for Paul Dickov to chase and when the Scotsman's first touch dropped kindly into the path of Emerton, the Australian fired narrowly wide from 20 yards.
Saints battled hard until the end and came close to grabbing a consolation goal when Kevin Phillips fired narrowly over from inside the Rovers area.
A forlorn looking Harry Redknapp said: "We did not play well today, we brought Phillips on looking for a goal at half-time and then we go and give one away at the other end.
"Blackburn look a strong outfit and I think they can give Arsenal a good game next week down in Cardiff."
Man of the Match: Morten Gamst Pedersen
The Norwegian midfielder ran the game for Rovers, scoring the first and creating a steady stream of chances with his dangerous set-piece delivery.