Arsene Wenger decided to make 10 changes for the clash against a strong Southampton side, who taught an inexperienced Arsenal side a lesson.
The Saints took the lead in the 11th minute thanks to a goal from Jordy Clasie. Ryan Bertrand crossed for Sofiane Boufal whose shot was block, and Clasie was on hand to smash past Emiliano Martinez in the Arsenal goal.
Arsenal responded fairly well without creating any clear-cut chances, but things then got even worse for the Gunners eight minutes before the break as Southampton scored a second.
It was Boufal and Bertrand who were in the thick of it once again, as the Moroccan found Bertrand in the box, and the Saints man doubled the Saints' lead with a low shot.
Arsenal came out positively in the second half, with Lucas Perez and Aaron Ramsey forcing saves from Fraser Forster less than five minutes after the re-start.
However, Southampton continued to threaten Arsenal and Boufal almost scored just before the hour mark, but the Southampton record signing's deflected shot went just wide.
The Saints managed to see the game out and are through to the semi-finals of the EFL Cup along with Liverpool, Hull and Manchester United, who beat West Ham 4-1.