The Terriers had the best of the chances as they looked to extend their 100% start to the season, with Rajiv van la Parra, Steve Mounie and Elias Kachunga all having opportunities
But they ultimately had defender Tommy Smith to thank for saving a point with a goalline clearance from Ryan Bertrand's injury-time header.
Three games into their first Premier League season, Huddersfield are ahead of Manchester City on goal difference.
But having gone top when their match finished, they were usurped by Manchester United after their win over Leicester later in the day.
Saints boss Mauricio Pellegrino, meanwhile, has made an unbeaten start in the Premier League with two draws and one victory.
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Huddersfield have opened the league season with three successive clean sheets - only the second time a promoted side have done so after Charlton achieved the feat in 1997.
Few would have predicted their flying start to the campaign, but David Wagner's side have been a breath of fresh air.
"We have three clean sheets in the Premier League so I am very proud," said Wagner.
"We will go into this international break with a smile on our face.
"We wanted to show that we are brave. I am very happy."
The visitors may not have made the most convincing start to the game, but they remain unbeaten in the league this season.
And, were it not for Smith's late clearance, they would have stolen all three points, taking them - not the hosts - level on points with Manchester City.
While much of the attention has been focused on the future of defender Virgil van Dijk, the Saints have made a steady start under Pellegrino.
Despite Huddersfield having nine first-half shots, they showed defensive solidity, and will hope to welcome back the Dutchman once the transfer window shuts this week.
Huddersfield manager David Wagner: "I was happy how brave we were in the first half. Unfortunately, we didn't score and this is why we have to accept the 0-0.
"There were some good blocks and saves. We missed opportunities. Southampton had the best chances in the second half.
"It was an unbelievable save on the goalline [from Tommy Smith]."
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Southampton manager Mauricio Pellegrino: "We have to think about what we can do to be better in the next game. We have to keep going. Huddersfield are now really high. They are in a good moment.
"We had chances in the last 15-20 minutes and put them under pressure. There were moments for us and moments for them.
"It could have been three points, one point or none. It was tough from the beginning."
Following the international break, Huddersfield travel to London Stadium to face West Ham on Monday, 11 September at 20:00 BST. The Saints host Watford two days prior to that (15:00).
Match ends, Huddersfield Town 0, Southampton 0.
Second Half ends, Huddersfield Town 0, Southampton 0.
Offside, Southampton. James Ward-Prowse tries a through ball, but Oriol Romeu is caught offside.
Nathan Redmond (Southampton) wins a free kick on the right wing.
Foul by Collin Quaner (Huddersfield Town).
Attempt blocked. Ryan Bertrand (Southampton) header from the left side of the six yard box is blocked. Assisted by Shane Long with a cross.
Substitution, Huddersfield Town. Collin Quaner replaces Elias Kachunga.
Offside, Southampton. Nathan Redmond tries a through ball, but Sam McQueen is caught offside.
Attempt saved. Nathan Redmond (Southampton) right footed shot from the centre of the box is saved in the bottom right corner. Assisted by Shane Long.
Attempt missed. Steve Mounie (Huddersfield Town) right footed shot from outside the box is high and wide to the right. Assisted by Tom Ince.
Oriol Romeu (Southampton) wins a free kick in the defensive half.
Foul by Danny Williams (Huddersfield Town).
Attempt missed. Danny Williams (Huddersfield Town) header from the centre of the box is too high. Assisted by Kasey Palmer with a cross following a corner.
Corner,  Huddersfield Town. Conceded by Jack Stephens.
Attempt blocked. Kasey Palmer (Huddersfield Town) right footed shot from the right side of the box is blocked. Assisted by Tom Ince.
Attempt saved. Tom Ince (Huddersfield Town) left footed shot from outside the box is saved in the centre of the goal. Assisted by Tommy Smith.
Substitution, Southampton. Sam McQueen replaces Dusan Tadic.
Foul by Nathan Redmond (Southampton).
Tommy Smith (Huddersfield Town) wins a free kick on the right wing.
Substitution, Southampton. James Ward-Prowse replaces Manolo Gabbiadini.
Foul by Shane Long (Southampton).
Christopher Schindler (Huddersfield Town) wins a free kick in the defensive half.
Attempt blocked. Aaron Mooy (Huddersfield Town) right footed shot from the right side of the box is blocked.
Attempt blocked. Tom Ince (Huddersfield Town) left footed shot from outside the box is blocked. Assisted by Elias Kachunga.
Foul by Cédric Soares (Southampton).
Tom Ince (Huddersfield Town) wins a free kick in the defensive half.
Shane Long (Southampton) wins a free kick in the defensive half.
Foul by Christopher Schindler (Huddersfield Town).
Corner,  Southampton. Conceded by Kasey Palmer.
Corner,  Southampton. Conceded by Zanka.
Substitution, Southampton. Shane Long replaces Mario Lemina.
Attempt missed. Nathan Redmond (Southampton) left footed shot from outside the box misses to the right. Assisted by Manolo Gabbiadini.
Dusan Tadic (Southampton) wins a free kick in the defensive half.
Foul by Danny Williams (Huddersfield Town).
Substitution, Huddersfield Town. Danny Williams replaces Philip Billing.
Foul by Jack Stephens (Southampton).
Kasey Palmer (Huddersfield Town) wins a free kick on the left wing.
Attempt missed. Steve Mounie (Huddersfield Town) header from the centre of the box is too high. Assisted by Tommy Smith with a cross.
Substitution, Huddersfield Town. Kasey Palmer replaces Rajiv van La Parra because of an injury.
Corner,  Southampton. Conceded by Tom Ince.
Huddersfield briefly moved top of the Premier League as they played out a goalless draw with Southampton.