The Robins were 2-0 up at half-time thanks to Steve Gillespie and Dean Sinclair, but Southend bounced back to level through Mark Gower and Steve Hammell.
Cheltenham took the lead in the 12th minute when David Bird's short corner from the left was crossed by Ashley Vincent to Gillespie at the back post, where his close-range header evaded Peter Clarke's attempt to clear it off the line.
Southend tried to rally and saw Alan McCormack's shot on target deflected out by debutant loan signing Dean Morgan before Matt Harrold headed wide.
But the goal had given Town plenty of confidence and they extended their lead in the 25th minute when an unmarked Sinclair had a simple six-yard tap-in from Paul Connor's cross from the left by-line.
The Shrimpers struggled to claw their way back into the game, with Hammell twice firing free-kicks over the bar and Morgan heading over.
In contrast the Robins may have extended their lead, but Damien Spencer's header was saved by Steve Collis before Gavin Caines' header was deflected on to the right post.
Whatever Blues boss Steve Tilson said at half-time worked wonders because five minutes after the restart the hosts pulled a goal back when Gower and McCormack worked a neat one-two and the former's shot deflected off Shane Duff and into the net.
Shane Higgs then parried an Adam Barrett header and Morgan fired narrowly wide as Southend upped the pressure.
They were rewarded on 57 minutes when Harrold chested the ball down into Hammell's path and the right-back slotted home from eight yards for his first goal of the season.
Higgs then denied Gower and substitute Charlie MacDonald as the Shrimpers pressed for a winner, while Town's best chance fell to Gillespie but he fired straight at Collis.