Record signing Jay Rodriguez made the perfect start to life at Saints by scoring on his debut against Arsenal - but it was the Gunners who won the Markus Liebherr Memorial Cup.
The £7m summer signing from Burnley announced his arrival with a flicked header but the Gunners had the last laugh to take the trophy back to north London.
Saints leave for their trip to France on Sunday looking for a first win of pre-season after losing one and drawing the other of their two 45 minute openers.
Saints lost their first game of pre-season as they were defeated 1-0 by Anderlecht in the first game of the Markus Liebherr Memorial Cup.
Nigel Adkins fielded a side that was very similar to the team that won promotion from the Championship, the only exceptions being youngsters Luke Shaw and Calum Chambers at left back and centre midfield respectively.
Anderlecht were without a few of their star names but still looked a class outfit and were well worth their win.
The only goal of the game came on 15 minutes when Tom De Sutter was picked out by a defence splitting pass and after seeing his initial effort blocked by Kelvin Davis tapped home the rebound.
Saints had Davis to thank for several good saves to keep it to one while the only real chance Adkins' men created was a Jos Hooiveld header from a corner that struck the crossbar.
After the Olympic torch had passed round the outside of the St Mary's pitch came the second of the day's three 45 minute matches as Anderlecht took on a youthful Arsenal side.
The Gunners had brought a young squad to the south coast with their 11 Euro 2012 stars still on holiday and others away with Olympic squads.
Anderlecht again saw plenty of the ball but failed to create the same volume of chances they had against Saints and never really looked equalising after Arsenal grabbed the lead on 35 minutes.
It was two players with first team experience that created and converted it with Carl Jenkinson's low cross from the right turned in at the near post by the sliding Henri Lansbury.
The result meant Anderlecht finished with three points and a zero goa difference with one for and one against while Arsenal had played one and won one with a plus one difference, meaning if Saints were to beat the Gunners by more than one goal in the final match they would win the Markus Liebherr Memorial Cup.
As expected Adkins changed the whole team from the first game and Saints also switched from a 4-4-2 to playing just one up front - and that was a St Mary's debut for £7m record signing Jay Rodriguez while Dan Seaborne made a welcome return.
And Rodriguez made quite an impact as his flicked header into the far corner gave Saints the lead on 32 minutes.
However, the Saints joy was short lived as Gervinho got to the left by-line, cut back onto his right foot and fired in a low shot that went through the legs of Tommy Forecast to level things up.
The game finished 1-1 meaning Arsenal won the trophy.
The rules of the competition state that a drawn game must be decided by a penalty shootout which Saints won 5-4.
Saints team v RSC Anderlecht: Davis, Richardson, Fonte, Hooiveld, Shaw, Do Prado, Schneiderlin, Chambers, Lallana, Lambert, Sharp.
Saints team v Arsenal: Forecast, Butterfield, Stephens, Seaborne, Fox, De Ridder, Chaplow, Hammond, Ward-Prowse, Puncheon, Rodriguez.
Don't miss Monday's Daily Echo for all the analysis