We missed a hatful of chances as Nigel Quashie's header won it for the home side in the second half.
In an open, exciting first hour, both sides were guilty in front of goal with Paul Smith in the Saints' goal stopping everything that came his way.
Jermain Defoe, Mido, Michael Brown and Fredi Kanoute were denied with Smith's first save in the first minute and last three minutes from time.
"We should have had a draw," reflected Martin at St Mary's. "You would normally get two or three chances away from home but I can't remember us having such a lot of initiative, having the ball and creating chances without getting something out of the game.
"The main thing they did was to hit Crouch and that was a bit of a problem for us. You have to pressurise all the time so they don't have the chance to play the ball to him, but we didn't do that.
"We still had two one-on-ones with their keeper and other chances from Mido and Stephen Kelly. We should have scored.
"In the second half the lads did everything we wanted. We played well, created a couple of 100 per cent chances, Defoe one-on-ones, Kanoute and a couple of half-chances and you have to put them away.
"You also have to give credit to their goalkeeper, maybe he was lucky on occasions but he also made some terrific stops.
"Southampton are fighting for their lives and did well but we should have got something out of this game."
Martin Jol was scratching his head after we ended goal-less and point-less at Southampton on Saturday.