Former England striker Vardy traded passes with Stephy Mavididi before stunning all at St Mary’s with his cool side-foot finish to give the Foxes the ideal start.
Kasey McAteer met a fine Kiernan Dewsbury-Hall through ball to make it two after 18 minutes and, while a defensive error gifted Sam Edozie a Saints response, Wilfred Ndidi put Leicester 3-1 up in first-half injury time.
The excellent Mavididi ran from deep inside his own half to add a fourth with a superb solo goal against a side that beat the Foxes twice last season in a Premier League campaign that ended with both being relegated.
A miserable night for Southampton finished with Kamaldeen Sulemana being shown a straight red card for a clumsy tackle on James Justin in the final moments.
Relive Friday’s EFL action as it happened
Southampton boss Russell Martin said in the build-up to the game that he spent the international break reflecting on their “painful” 5-0 defeat by Sunderland and spoke about the visit of Leicester as a chance to “get back on track”.
By half-time boos were echoing around the ground with the hosts 3-1 down against a Foxes side that had not won at St Mary’s since a 9-0 defeat in the Premier League almost four years ago.
Two of Leicester’s three changes from their defeat by Hull last time out were up front, with 36-year-old former England striker Vardy and Mavididi starting.
Sloppy passing from Saints, in an attempt to play it out from the back, allowed the duo to immediately link up with devastating effect.
Vardy played the ball into the box for Mavididi, who then cut it back to find the Foxes talisman unmarked 12 yards out to slot home and rattle the hosts.
Mads Hermansen twice denied Che Adams as Southampton searched for a quick response, first keeping out a fierce curled effort before rushing out deny the Scotland international after Harry Winks gave the ball up on the edge of the area.
In a first-half littered with defensive errors, Southampton were again punished for relinquishing possession in their own half when Kiernan Dewsbury-Hall threaded the ball through for McAteer to race onto and bury beyond goalkeeper Gavin Bazunu.
It was then Leicester’s turn to be charitable, with Adams pouncing on Callum Doyle’s inability to clear the ball from under his feet before sending Edozie free to deftly lift the ball over the onrushing Hermansen.
Mavididi displayed great composure to set Ndidi up for Leicester’s third, with the forward turning, tumbling then recovering to find the midfielder in the box, where the Nigerian chopped the ball back onto his right to coolly finish.
Former Juventus forward Mavididi, who arrived from Montpellier in the summer, wasted a huge chance just after the hour but was quick to make amends with the pick of the night’s goals.
He intercepted a sloppy pass from Sulemana 30 yards from his own goal, then knocked the ball around a defender and raced away to slide the ball beyond Bazunu and into the bottom corner.
Adam Armstrong sent an angled effort off target and Ryan Fraser thumped a shot into Hermansen’s gloves before Mavididi’s goal, but failed to seriously trouble the visitors again after going 4-1 down.
Defeat was made all the more costly with Sulemana now suspended after his late sending off.
‘It was unbelievable’ – reaction
Leicester City manager Enzo Maresca told BBC Radio Leicester:
“First of all, it was a good win. It is never easy. And then the performance, for me, was unbelievable.
“On the ball we are working the way we want to work and off the ball we were very aggressive against a team that wants the ball.
“It was very important to send a message that we are a team good on the ball but we are also a team that tries to work off the ball.”
Southampton boss Russell Martin told BBC Radio Solent:
“We started the game really poorly. One team was clinical when they won the ball and one team was not, and we were punished for that.
“I’m not going to blame the players. I am proud of them tonight.
“If anyone thought it would be painless trying to get to where we want to get to, that is naïve.
“We will sort it out and we won’t keep conceding this many goals. We will find more balance than we had tonight.
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