Relegated Saints ended their season in sorry fashion at the City Ground.
They started well and Jason Euell had already hit a post by the time Adam Lallana found Bradley Wright-Phillips who slotted in under keeper Paul Smith.
Forest levelled out of nowhere in the 73rd minute as Joe Garner turned on the edge of the area and deftly lobbed in.
Luke Chambers headed in a late corner, David McGoldrick almost made it 2-2 but Robbie Earnshaw sealed it after Kelvin Davis parried an Arron Davies shot.
Forest boss Billy Davies:
"We started off sluggish but great credit has got to be given to Southampton, I think they're in a false position.
"The second half was much better and we showed plenty of courage.
"We wanted to keep the run going, finish on a high and give the fans a good send-off."
Southampton manager Mark Wotte:
"I think it reflects the season.
"It's a ridiculous result if you see the game but it's why we are in the bottom three."
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