They left the Memorial Stadium with a one-goal advantage but feeling that Rovers had gifted it to them.
For the first half-hour the home side used just one attacker; Junior Agogo, and stayed with that system long after Lawrie Dudfield had headed the visitors in front.
The build-up came when Rovers' Ryan Williams lost the ball on the halfway line and Lewis Hunt ran clear down the right to find Dudfield with an accurate centre.
The home side had the chance on the half-hour to pull this goal back when Spencer Prior upended Craig Disley but Agogo slammed the penalty against the bar.
Rovers drew level ten minutes into the second half with Richard Walker gliding in a header from a deep Stuart Campbell corner.
Southend were back in front 12 minutes later with Mark Gower cutting in from the left and hammering a shot in off the underside of the bar.
Southend, who ran up 13 corners, always looked the likely winners although Rovers shook off their negative approach to throw more men forward.