Mauricio Pochettino's side battled to a creditable draw against the Liga club but ultimately lost out from 12 yards as the Premier League outfit continue their preparations
There was little to pick between the two teams during the 90 minutes on Saturday, but the home side were much more clinical from the penalty spot, converting four of their kicks to the Premier League side's one.
Southampton manager Mauricio Pochettino was boosted by the returns of Maya Yoshida and Gaston Ramirez after their extended breaks following the FIFA Confederations Cup.
However, the visitors got off to a poor start at Balaidos as Celta threatened through Augusto Fernandez, whose early shot was blocked by new signing Dejan Lovren.
Just minutes later, the La Liga club again went close as Andreu Fontas saw his 30-yard effort hit the crossbar.
Southampton also had their own opportunities in the first period though, with Jay Rodriguez dispossessing Gustavo Cabral but then shooting wide, shortly before Ricky Lambert had a goal disallowed for offside.
The half-time break saw nine changes for the Premier League outfit - including a switch of goalkeeper as last season's regular Artur Boruc replaced Kelvin Davies.
These alterations disrupted the flow of the game, but it was Southampton who finished the strongest, with Steven Davis having a shot saved by Sergio Alvarez before Guly headed over the bar.
With the match ending 0-0, the sides then had a shoot-out to determine the winner.
David Rodriguez, Fabian Orellana, Alex Lopez and David Goldar scored for Luis Enrique's men, while only Davis was successful for the away team.