Jose Fonte's first goal for 18 months gave the hosts the lead, glancing in a header from Dusan Tadic's corner.
Virgil van Dijk earlier saw a header cleared off the line, but he doubled the lead with a close-range prod.
Vardy headed the Foxes back into the match, before blasting home his ninth of the season in injury time to keep the Foxes in fifth.
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Not judging by their second-half display.
The Foxes have scored in every Premier League match this season and, sparked into life by the half-time introduction of forwards Riyad Mahrez and Nathan Dyer, they earned an unlikely point with a stunning final 45 minutes.
Southampton were in complete control at half-time but, helped by the trickery of Mahrez and the clinical finishing of Vardy, the Foxes again showed they should never be ruled out.
The draw is the seventh point Leicester have earned from a losing position this season.
It would be very hard to leave the Leicester and England striker at home in the summer on this form.
The 28-year-old, who was playing for Fleetwood in League Two in 2012, became just the fourth Englishman to score in six consecutive Premier League matches this century when he headed home to give the Foxes hope after the break.
Before he hammered in a late equaliser, the striker shot over from close range and was a constant threat for Leicester after the break.
Vardy, already in the England squad, is playing with a double fracture to his wrist, but looks determined to push his international cause with the likes of Liverpool's Danny Ings and Daniel Sturridge struggling with injury.
He now has three more goals than any of his Premier League rivals.
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The introduction of Leicester substitutes Mahrez and Dyer at the start of the second half changed the pattern of the game.
Algerian Mahrez has been a key player for the Foxes this season and the forward proved so again, creating chance after chance playing just behind striker Vardy.
It was his pass that created the equaliser while Swansea City loanee Dyer also made a big impact on the wing, crossing for Vardy's opener.
Southampton should have had the game out of sight, with Sadio Mane delaying after rounding goalkeeper Kasper Schmeichel when 2-0 up, but the hosts tired as the match wore on with all 10 of their starting outfield players involved in international duty in the past week.
Southampton boss Ronald Koeman on BBC Sport: "It was a difficult game. Defensively we did well in the first half and we scored from set pieces.
"But I expected a difficult second half because we know one of Leicester's strengths is unbelievable spirit and we have to be more clever.
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"They deserved at least one point. They did two good changes after half-time. Mahrez created difficulties for us."
Leicester boss Claudio Ranieri on BBC Sport: "We have fantastic spirit. We believe everything could be possible.
"We created a lot of chances. It is important to have good players on the bench and I have very good players who can change the match.
"Jamie Vardy is very important for us. I believe in this team. When we are desperate we make more, more and more."
It doesn't get any easier for Southampton as they face a trip to Liverpool for Jurgen Klopp's first home match in charge of the Reds. Leicester entertain Crystal Palace looking to maintain their top five spot.
More follows.
Premier League top scorer Jamie Vardy scored twice as Leicester came from 2-0 down to draw at Southampton.