The 31-year old netted the winner for England against Scotland in his international debut in midweek, and was on hand to claim a win for his club three days later by coolly dispatching his spot-kick after Youssouf Mulumbu had fouled Luke Shaw in the area.
West Brom handed a debut to Nicolas Anelka, appearing for the sixth Premier League club of his career, but Zoltan Gera and George Thorne were ruled out through injury.
There was also no place in Steve Clarke’s squad for Peter Odemwingie, with speculation continuing over the striker’s future.
Southampton boss Mauricio Pochettino named new signings Victor Wanyama and Dejan Lovren in his starting XI, while Shaw shook off a groin problem to take his place in the team.
The visitors failed to score a league goal against West Brom last season, but they set about improving that statistic this time around with a high-tempo start.
The home crowd breathed a sigh of relief after just five minutes as Jonas Olsson was forced to head behind an Adam Lallana cross, before Ben Foster fumbled a fizzing ball in from James Ward-Prowse shortly after.
Southampton continued to press and thought they had taken the lead just after the half-hour mark when Lallana bundled in Lambert’s flick from close-range, only for the goal to be ruled out for offside.
West Brom then gained a foothold in the game and came close to opening the scoring 10 minutes before half time when Graham Dorrans sent a 25-yard free-kick onto the roof of Artur Boruc’s net.
But that was about the best the hosts could muster during the opening period, and Foster was again called upon on the stroke of half time, producing a great save to deny Shaw from 20 yards.
Southampton picked up where they left off after the break, and nearly broke the deadlock early on when Jay Rodriguez latched onto Lallana’s knockdown before clipping the bar with a thunderous strike.
Moments later it was the hosts who went close when Republic of Ireland striker Shane Long sent a cheeky flick inches wide of Boruc’s post from six yards.
But the visitors were rewarded for their good performance in the dying minutes when Shaw was brought down by Mulumbu in the box. Lambert made no mistake from the spot, drilling his penalty into the bottom-left corner.
Billy Jones threatened to draw the hosts level deep into stoppage time, but his header was well saved by Boruc and Southampton held on to claim the win.
