The Shrimpers withstood an early spell of pressure from the Bees but fought back to open the scoring in the 27th minute, with Tamika Mkandawire scoring for the first time since August 2011.
The on-loan Millwall midfielder, who was being watched by Lions boss Kenny Jackett in the stands, collected a half cleared right-wing cross from Kevan Hurst before bringing the ball back on to his left foot and firing a deflected 20-yard shot into the bottom left-hand corner of the net.
Southend then doubled their lead in the 40th minute as Hurst's stunning 25-yard effort arrowed in to the top left-hand corner. After the break, Barry Corr hit the crossbar from 12 yards before the Bees bagged a late consolation when Paul Hayes raced on to a long ball forward from Lee Hodson and fired past Paul Smith.
Oxford keeper Ryan Clarke saved two penalties as United advanced 3-1 on penalties after a 1-1 draw at Plymouth.
Alex MacDonald, who will now return to Burnley following the end of his loan stay in Devon, curled in a scorching free-kick from the left-hand touchline in the 20th minute to give the home side the lead.
Oxford equalised in the 62nd minute through target man James Constable after home keeper Rene Gilmartin flapped away a cross under pressure from Sean Rigg. Plymouth were reduced to 10 men when Durrell Berry received his second yellow card with six minutes to go before the shoot-out ensued.
The visitors slotted in all three of their penalties with Rigg, Adam Chapman and then Liam Davis finding the back of the net. But after Rhys Griffiths scored the first spot-kick of the shoot-out, Argyle trio Andres Gurrieri, Jamie Lowry and finally Maxime Blanchard all failed to convert from 12 yards.
Yeovil eased past 10-man Wycombe 2-0.
First half-goals from Ed Upson and Sam Foley ensured Gary Johnson's side avoided an upset against the npower League Two Chairboys, who had Matt Spring sent off in the 27th minute.
- Sports & Recreation
- Kevan Hurst