The Shrimpers were on top for most of the match apart from a bright spell midway through the second half when DJ Campbell pulled a goal back for the Bees.
Brentford struggled to create any clear-cut chances after Lloyd Owusu shot over from an offside position on two minutes, leaving manager Martin Allen screaming at Owusu, his strike partner Campbell and anyone else who upset him.
In contrast, Southend looked sharper on the attack and saw forward Wayne Gray's header force a save out of visiting keeper Stuart Nelson.
Mark Gower's shot was deflected out for a corner which was taken short by skipper Kevin Maher to Freddy Eastwood. The Blues' 12-goal top scorer crossed the ball for new signing Sodje to head home after 20 minutes.
Five minutes later, Eastwood squandered a superb chance to double the advantage when he was put clear from a Gower long ball but the striker somehow shot wide after beating Michael Turner.
Eastwood made amends after 31 minutes when he beat three men but saw his cross blocked by Kevin O'Connor. The loose ball fell to Gower who made it 2-0 from 16 yards.
Brentford responded when Campbell shot under pressure in the box but saw his effort cleared off the line by Sodje.
The visitors avoided further problems when Gray's shot was parried by Nelson before Turner blocked Gower's follow-up.
Eleven minutes after the restart, the Blues breached the defences again from a Kevin Maher corner. Gray hit the post and amid a scramble on the goal-line Mark Bentley got the final touch only for the goal to be disallowed for a foul.
The hosts grabbed the third goal they had been threatening on 63 minutes when Maher's free-kick was headed in at the far post by a stooping Adam Barrett.
A minute later the Bees got on the scoresheet when Sodje failed to deal with O'Connor's upfield ball, leaving Campbell to produce a first-time shot from 20 yards that went into the bottom left-hand corner.
Brentford maintained the pressure but shipped a fourth following a fine run from Gower.
He laid the ball off to substitute Wilson who scored his first ever senior goal with a right-foot shot from 10 yards.