Captain Gary Caldwell put the Latics ahead in the 25th minute but Saints dominated more and more as the match went on and thoroughly deserved their 64th-minute equaliser through Rickie Lambert.
The visitors thought they had won it when Morgan Schneiderlin ended an 85th-minute break by smashing past Ali Al Habsi but Maloney popped up in the 90th minute to prod in an equaliser.
Wigan are now two points from safety after Reading continued their fine run with victory over Sunderland.
Martinez said: "You have to be (relieved) because Southampton got a very good momentum in the second half and when they get the second goal that late in the game it's going to be very difficult not to be affected by dropping points that you felt you had.
"I was very pleased with the reaction we had, the character and the desire to want to get a positive result, so in that respect I'm very pleased, even though I don't think we performed in the manner we want to or with the fluency we normally have.
"Scoring the first goal should give you a confident feeling but you could feel the crowd was getting very anxious and all of a sudden it became an exercise of something to lose rather than something to gain.
"We wanted the game to end then and the way we finished the first half reflected that.
"Southampton pressed us really well, I think they're a very well-drilled team and they deserve huge credit but obviously from our point of view we need to understand that getting a goal lead should be something we can use in our favour.
"But we never accepted defeat and I think we got a very positive result. We managed to rescue a point and that could be very important at the end of the season."