A late header from substitute Ryan Leonard consigned Oxford United to a second defeat in eight days.
It was a harsh result on the visitors, who were much better than in the 3-0 defeat at Fleetwood Town last weekend and deserved at least a point for their efforts.
But ultimately the U's were left to reflect on two glorious chances which were wasted by Alfie Potter in the first half.
Southend United took a long time to get going, but showed an opportunistic streak to snatch a late goal after an error from Damian Batt.
Luke McCormick came into the side as one of three changes to the XI from Tuesday's 1-1 draw with Burton Albion.
The goalkeeper replaced Max Crocombe, who dropped to the bench, while injuries ruled out Michael Duberry and Tom Craddock, so Michael Raynes and Justin Richards started.
United should have gone in front inside the opening 30 seconds, when James Constable and Sean Rigg combined to lay on a chance for Potter.
He was in acres of space, but after steadying himself his shot was saved by Paul Smith.
The rebound fell back to the winger, but he volleyed wide. It was almost 20 minutes before either side could muster another chance.
Again it was the visitors who threatened, when Adam Chapman's inswinging corner deceived Smith, but Kevan Hurst cleared off the line.
Southend had plenty of the ball, but lacked a cutting edge in the absence of injured top scorer Gavin Tomlin as United's back four did a good job of keeping the Shrimpers at arm's length.
McCormick, who was backed by the majority of the travelling fans, did not have a shot on target to save before the break, but he dealt with a handful of crosses without fuss.
United carried far more threat when they went forward. Constable and Richards worked a chance for Batt, who blazed over on his left foot 11 minutes before the break.
The half ended as it began, with Rigg providing a virtual carbon copy opening for Potter.
This time he opted to shoot earlier, but Smith produced a fine save to turn it round the post.
Within two minutes of the restart Southend came within a whisker of going ahead.
Michael Timlin's cross was met by Batt, who could only head towards his own goal and the full back was relieved to see the ball strike the post and bounce to safety.
United responded with a fluent move which ended with Rigg firing a first-time shot into the side netting from just outside the box.
It took almost an hour for Southend to produce a shot, when Assombalonga's attempted chip lacked height.
McCormick also comfortably gathered a shot from Barry Corr shortly afterwards.
Clear chances were at a premium in the final half hour, as both defences did a good job of containing the opposition.
Chris Wilder and Paul Sturrock looked to their benches for inspiration, but a goalless draw looked on the cards.
It took a mistake to finally break the deadlock, six minutes from time.
A ball over the top appeared to favour a backtracking Batt, but he stopped, apparently thinking McCormick would come out of his area to clear.
Southend pounced on the breakdown in communication and Timlin hung up a cross which Leonard headed into the corner of the net.
United brought on Deane Smalley for the closing stages, but could not force a last-gasp equaliser.
Southend Utd: Smith, Clohessy, Cresswell, Phillips, Barker, Hurst (Leonard 81), Timlin, Spillane, Laird (Reeves 81), Assombalonga (Lavery 67), Corr. Unused subs: Bentley, Straker, Eastwood, Prosser.
Oxford Utd: McCormick, Batt, Raynes, Wright, O'Brien, Potter, Chapman, Leven, Rigg (Davis 67), Richards, Constable. Unused subs: Crocombe, Heslop, Smalley, Capaldi, Worley, Parker.
Referee: Gavin Ward.
Attendance: 5,596 (634 visitors).