The visitors took a three goal lead through goals from Jack Payne, David Mooney and David Worrall, however, a double from Michael Higdon gave Latics hope.
The striker had previously missed a penalty but picked himself up for his second to score 10 seconds later.
Two quick goals from Will Atkinson and Luke Prosser followed as Southend sealed the three points at SportsDirect.com Park.
David Dunn made four changes to his starting 11 on Saturday, one enforced as Cameron Dummigan missed the game with injury.
Latics got off to the worst possible start as they fell behind after five minutes.
Ben Coker’s whipped free kick caused a scramble in the box and the ball fell to Payne who curled into the bottom corner to give Southend the lead.
It took Latics a while to settle into the game as Michael Higdon hit the post on 18 minutes from a Joseph Mills corner.
From the resulting play, James Wilson received the ball on the edge of the box but fiercely struck wide.
However, at the other end, Southend were looking threatening and Mooney almost doubled the lead but fired over from three yards.
Going forward, Latics needed a spark, something to get the supporters off their feet, but Higdon’s header before the half hour mark was pulled up for a foul as it just clipped the far post.
Southend looked dangerous from set piece situations and on 36 minutes Coker crossed to Barrett in the centre but Latics managed to crowd out the defender.
Approaching the half time whistle, Latics fell two goals behind in controversial circumstances.
The ball fell through to Mooney who looked to be offside, but despite the best efforts from David Cornell, he doubled the visitors lead.
Straight after the half time interval, Southend scored their third goal of the game through former loanee Worrall.
The winger met a deflected shot at the back post to head past Cornell to make it three.
Latics were shellshocked but Dunn brought on Ricardo Fuller to add extra power in attack and eight minutes later, Latics pulled a goal back.
The ball fell to Higdon inside the penalty area and he smashed home on the half volley to give Athletic a glimmer of hope.
Latics’ tails were up and they were the ones likelier of the two sides to get the next goal.
Fuller’s half volley just went wide of the post and after the hour mark, Higdon’s header from a Yeates corner was smartly tipped over the bar by Bentley.
Latics were knocking on the door of another goal with Yeates receiving a lot of space on the left and he stood a cross up for Higdon to volley wide of the goal minutes later.
With 75 minutes on the clock, Latics had a great chance to pull another goal back from the penalty spot.
Mills was fouled in the penalty area and Higdon stepped up but Bentley guessed right and tipped wide of his goal.
However, the ball fell to Kelly on the right hand side who crossed into the centre for Higdon to power home at the back post.
In a twisted turn of events, Southend regained their two goal advantage only a minute later as Atkinson headed home at the back post.
Four minutes later, the Shrimpers made it five with a very similar goal, headed home by substitute Prosser who had been on the field three minutes.
Latics continued to press until the final minutes of the game with Higdon and Rasulo going close but it was Southend that came away with the points.
Oldham Athletic: Cornell, Eckersley (Fuller 54’), Wilson, Wilson, Mills, Kelly, Fulton, Yeates, Philliskirk, Poleon (Rasulo 68’), Higdon.
Subs not used: Coleman, Brown, Dieng, Jones, Winchester.
Southend United: Bentley, White, Thompson, Barrett, Coker, Worrall (Rea 52’), Leonard, Atkinson, Hurst, Payne (Prosser 79’), Mooney (Pigott 71’).
Subs not used: T. Smith, Bolger, O'Neill, Williams.
Goals: Oldham Athletic (Higdon 56’, 77’) 2-5 Southend United (Payne 5’, Mooney 43’, Worrall 48’, Atkinson 78’, Prosser 82’)
Attendance: 3,301 (184 visiting supporters)