Nathan Jones was given a warning about the extent of the task facing him at Saints after seeing his prospective new side scrape past the Owls on penalties.

Welshman Jones, the current Luton Town boss, watched from the stands at St Mary’s as goalkeeper Alex McCarthy saved Dominic Iorfa’s spot-kick to spare Saints’ blushes in a 6-5 shoot-out triumph over League One opposition.

He witnessed a Saints team led by interim boss Ruben Selles labour to a 1-1 draw in 90 minutes, with James Ward-Prowse’s penalty on the stroke of half-time cancelling out Josh Windass’ opener.

Josh Windass was on target at Southampton but Wednesday lost on penalties (Picture: PA)

England World Cup hopeful Ward-Prowse, Mohamed Elyounoussi, Ibrahima Diallo, Ainsley Maitland-Niles, Adam Armstrong and Theo Walcott were then each successful from 12 yards, before McCarthy repelled Iorfa’s low effort with his legs to secure a place in round four.

Livewire Windass, pictured, claimed the 24th-minute opener, emphatically thumping his sixth goal of the season beyond McCarthy after being slipped clear by Fisayo Dele-Bashiru.

Saints almost grabbed a quick-fire leveller but Owls keeper David Stockdale superbly repelled Joe Aribo’s goal-bound header from a Ward-Prowse free-kick.

Restless home supporters, who also saw McCarthy deny goal-scorer Windass on two other occasions, as well as Owls captain Barry Bannan, seemed to be gearing up to boo off their under-performing side at the break.

But Saints players avoided that increasingly familiar treatment after Wednesday’s hard work was undone in added time when defender Marvin Johnson dangled a leg to bring down Moussa Djenepo in the box.

Referee John Brooks immediately pointed to the spot and captain Ward-Prowse duly smashed the penalty down the centre of Stockdale’s goal to change the complexion of the contest.

The Owls, who sit third in League One, were the last club from outside the top division to lift the League Cup following victory over Manchester United in the 1991 final.

Darren Moore’s men were not about to roll over, albeit defender Michael Ihiekwe twice cleared off the line from substitute Walcott just after the hour mark following sloppy distribution from Stockdale.

Saints thought they had been spared the jeopardy of penalties three minutes from time but Stuart Armstrong’s deflected effort came back off the crossbar.

Southampton: McCarthy,Djenepo (Maitland-Niles 60), Lyanco, Caleta-Car, Salisu (Perraud 46), Diallo, Ward-Prowse, Adam Armstrong, Aribo (Walcott 60), Edozie (Elyounoussi 71), Mara (Stuart Armstrong 77). Unused substitutes: Caballero, Payne, Morgan, Lawrence.

Sheffield Wednesday: Stockdale, Iorfa, Ihiekwe, McGuinness, Johnson, Paterson, Bakinson (Vaulks 76), Bannan, Dele-Bashiru (Smith 87), Gregory, Windass (James 76). Unused substitutes: Brown, Agbontohoma, Shipston, Cadamarteri, Charles.

Referee: J Brooks (Leicestershire).

Sheffield Wednesday knocked out on penalties by Premier League strugglers Southampton