Van Nistelrooy struck in the 62nd minute, condemning Saints boss Harry Redknapp to the first relegation of his Premiership career.
Saints looked to be heading for another last-day escape act when Red Devils defender John O'Shea bundled the ball into his own net only in the 10th minute.
Veteran full-back Graeme Le Saux crossed from the right for O'Shea to turn the ball past keeper Roy Carroll at the back post, under pressure from Nigel Quashie.
United should have pulled themselves level five minutes later when Alan Smith blazed over from Ryan Giggs' pull back.
Southampton almost grabbed the second soon after when David Prutton's cross-cum-shot was cleared of the line by Wes Brown.
Scotland midfielder Darren Fletcher headed the visitors level in the 19th minute with his third goal of the season.
O'Shea crossed from the left before Fletcher rose unmarked to nod past Antti Niemi and into the top left-hand corner of the net.
Niemi reacted brilliantly to turn a van Nistelrooy shot on to the post two minutes later.
United keeper Carroll denied Southampton a second goal with a brilliant saved at the feet of on-loan Wolves striker Henri Camara in the 23rd minute.
Le Saux also cleared of the line from an O'Shea shot as the teams went in level at half-time.
Brett Ormerod, in for the suspended Peter Crouch, saw a long-range effort tipped over the cross bar by Carroll in the 61st minute.
Van Nistelrooy capped a fine breakaway move to put United in front from the resulting corner.
Smith crossed from the right before van Nistelrooy nodded the ball past Neimi from two yards out to make it 2-1.
Saints tried everything to try and get back in the game and salvage their Premiership status, but it was not to be and they even had the dubious honour of finishing the season at the foot of the table.