Jay Rodriguez gave the Saints the lead before Gervinho equalised and, although the Premier League new boys won the shootout, it was the Gunners who claimed the pre-season trophy
New signing Jay Rodriguez put the Saints in front in the 45-minute match at St Mary's, before Gervinho's equaliser ensured a shootout would be required.
And, after the first nine spot-kicks were all converted, Kyle Ebecilio missed to consign a youthful Arsenal side to defeat in the game.
However, after earlier beating Anderlecht thanks to a goal from Henri Lansbury, and taking a point from their loss to Southampton, Arsene Wenger's team emerged victorious overall.
The hosts were the first to threaten, with James Ward-Prowse heading wide after just five minutes before Jason Puncheon shot wide shortly afterwards.
Arsenal hit back with Lansbury going close to his second of the tournament, when he failed to control a long ball, and Gervinho seeing his effort narrowly clear the crossbar on 20 minutes.
Kyle Bartley was forced to clear the ball off the line on the half-hour mark after Vito Mannone fumbled, but just one minute later Rodriguez leapt highest to head in the opener from close range.
But the Saints' lead was short lived, and Gervinho levelled the scores with ten minutes remaining with a fine solo effort after cutting in from the left.
Neither side could find the winner, and with penalties required, Danny Fox, Andre Santos, Rodriguez, Francis Coquelin, Danny Seaborne, Kristoffer Olsson, Richard Chaplow, Craig Eastmond and Dean Hammond all found the net from 12 yards.
Ebecilio missed the target to gift Southampton the win, but Arsenal still finished the tournament on four points whilst Anderlecht, who earlier beat the hosts, ended on three and the Saints on just two.
Arsenal's next pre-season fixture is against a Malaysian XI on July 24.