In October 2001, shortly after Coventry's relegation from the Premiership, Telfer joined Southampton, who had appointed Strachan as manager just over a month earlier. At Southampton, Telfer was converted from midfielder to right-back, and was a member of the side that reached the 2003 FA Cup Final. He scored once during his spell at Southampton, in a 3–1 win over Newcastle in May 2002.