The Bees started the day with three points after beating Crystal Palace 2-1 on August, before they lost against Liverpool at Anfield in their second league game of the campaign on August 25.
Southampton had no points and lost their last league game on August 24 against Nottingham Forest, but the Saints started the match at Brentford well, with Joe Aribo's flicked on header from a corner bouncing off the crossbar and post in the seventh minute.
Brentford grew into the game as the first half wore on, and made the most of their pressure when Bryan Mbeumo scored after Kevin Schade's shot deflected off the post and into his path in the 43rd minute.
The Saints shifted from a back five to a back four in the second half but it made little difference considering Mbeumo doubled his side's lead in the 64th minute when he was played through on goal after his teammates won back possession just outside Southampton's penalty area.
Yoane Wissa compounded Southampton's misery when he scored Brentford's third in the 69th minute after Vitaly Janelt flicked on a throw in from Mathias Jensen.
Yukinari Sugawara managed to score Southampton's first goal of the Premier League season in the 94th minute, and though his finish outside-foot finish was stunning, it will mean little to boss Martin.
The Saints have lost all three of their fixtures in the Premier League, but they can have few complaints about the result against Brentford.
Brentford VS. Southampton HIGHLIGHTS
Bryan Mbeumo goal vs. Southampton (43rd min, Brentford 2-0 Southampton)
Mikkel Damsgaard steals possession from Jack Stepehens deep in his own half and pokes the ball to Kevin Schade, who strikes the post after driving from the left side into the box, but Bryan Mbeumo slots home the rebound with Aaron Ramsdale still scrambling!
Bryan Mbeumo goal vs. Southampton (64th min, Brentford 1-0 Southampton)
The Saints try to build out patiently from the back but Mikkel Damsgaard wins the ball from Jan Bednarek just outside the penalty area before an unmarked Mbeumo finishes with a strike into the left corner from just inside the box!
Another awful Southampton error!
Yoane Wissa goal vs. Southampton (69th min, Brentford 3-0 Southampton)
Mathias Jensen launches the ball into the box from a throw in, and Vitaly Janelt manages to flick it on at the near post for Yoane Wissa, who pushes the ball across the line after crashing into it.
Surely that's all three points secured for Brentford?
Yukinari Sugawara goal vs. Brentford (94th min, Brentford 3-1 Southampton)
The Saints score their first goal of the Premier League season thanks to Yukinari Sugawara, who finishes first time with a delightful outside-foot strike from the right side of a crowded penalty area after Adam Lallana heads the ball down to him.
A consolation goal for Martin's side!
MAN OF THE MATCH - Bryan Mbeumo
With Ivan Toney's departure to Saudi Arabia, Bryan Mbeumo showed against Southampton that he can be the one to step up in his absence, with the forward scoring twice against the Saints.
Mbeumo also created three chances, produced four shots and was a constant thorn in Southampton's side, with the winger always a threat during counter-attacks.
Brentford VS. Southampton MATCH STATS
Possession: Brentford 37%-63% Southampton
Shots: Brentford 20-18 Southam[ton
Shots on target: Brentford 7-6 Southampton
Corners: Brentford 2-8 Southampton
Fouls: Brentford 10-7 Southampton
BEST STATS
WHAT NEXT?
Brentford will play Champions Manchester City after the international break on September 14, before they face Leyton Orient in the third round of the EFL Cup on September 17.
As for the Saints, they face Erik ten Hag's Manchester United in their next Premier League game on September 14, while they will hope to overcome Everton in the EFL Cup on September 17.