Steve Bruce's men have won just once on the road in the Premier League this season and found themselves three goals down inside 37 minutes against the Saints.
Hull improved in the second half at St Mary's Stadium, but were eventually beaten 4-1 and Huddlestone is aware their mini-fightback came too late.
"I think we maybe need to go into games with more of a belief to try and implement our own style on away games," he told the club's official website.
"Once we’d gone 3-0 down on Saturday, we started to play more and we were a lot more confident on the ball."
Despite the defeat, last season's Championship runners-up sit 12th in the table, four points clear of the relegation zone.
However, Huddlestone feels there is plenty of work to be done if the club are to maintain their top-flight status.
"We have to look at ourselves individually and collectively and know that we need to be better if we want to pick up points away from home," he added.