Shane Long gave the visitors the lead in the 17th minute at The Emirates when he fired home from close range to put Southampton ahead.
But January signing Aubameyang levelled the score when he netted a close-range finish from Danny Welbeck’s flick on in the 28th minute.
And Welbeck added one for himself to make it 2-1 to Arsenal in the 38th minute when his shot from the edge of the box was deflected into the back of the net.
However, substitute Charlie Austin pulled the Saints level with a tap-in in the 73rd minute.
But Welbeck had the final say when he headed home from close range in the 81st minute to wrap up a 3-2 win.
Aubameyang has been settling in well to life at Arsenal since his move to the club from Borussia Dortmund in the January transfer window.
England legend Lineker knows a thing or two about finishing chances and the former striker was clearly impressed by what he saw from Aubameyang on Sunday afternoon.
After the 28-year-old equalised for Arsenal, Lineker wrote on Twitter: “Canny finish from Aubameyang. A natural and prolific goal scorer.”
Arsenal will now turn their attentions back towards Europa League affairs and the return leg of their crunch quarter-final clash against CSKA Moscow on Thursday night in Russia.
The north London side won the first leg 4-1 at The Emirates last week.
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