They were a goal down inside 35 seconds and two down after 12 minutes and they found the road back blocked by too many obstacles as Southend defended solidly.
Southend had, in fact, been the last side to beat Rotherham in the League at the end of October.
"It was a bad start and conceding the first goal like that and so quickly was poor really," said Rotherham manager Ronnie Moore.
"It put us on the back foot. We got back in it with plenty of time to go but never really got any tempo into our game and I thought we played in front of Southend rather than getting behind them."
Rotherham were stunned by Southend's first-minute opener, neatly finished off by Ryan Hall from a pinpoint centre by Sean Clohessy.
Blair Sturrock, whose last goal had been the winner when the teams last met, headed home from Hall's corner after 12 minutes.
Only a fine save by Andy Warrington prevented Louie Soares heading a third as Southend made the most of having the wind behind them.
Former Rotherham captain Graham Coughlan, a stumbling block for his old club, was so close to heading into his own net just before half-time, the ball bouncing inches wide with his goalkeeper stranded.
Central defender Nick Fenton pulled one back from Nicky Law's corner on the hour but apart from substitute Paul Warne forcing a good save from Glenn Morris, Rotherham struggled to make much impression in their search for an equaliser.
Rotherham United: Warrington; Tonge, Mullins, Fenton, Newey; Marshall (Randall 46), J Taylor, Law, Ellison (Warne 76); Le Fondre, R Taylor. Unused substitutes: Annerson, Green, Ashworth, Harrison, Pope.
Southend United: Morris; Clohessey, Coughlan, Barker, Gilbert; Soares (Ferdinand 65), Easton, Grant, Hall; Sturrock, Corr. Unused substitutes: Evans, Herd, Phillips, Crawford, Paterson, Comminges.
Referee: S Mathieson (Stockport)
Man of the match: Nick Fenton.
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