The USA striker marked his first start by doubling a much-changed Hull side's lead after a brilliant opener from debutant Tom Cairney at the KC Stadium.
League One Southend made life difficult for their top-flight hosts by replying through Franck Moussa but substitute Geovanni wrapped up the win.
Hull manager Phil Brown fielded an entirely different side from the one which secured a first victory of the season against Bolton on Saturday.
That allowed a number of fringe players an opportunity while Altidore, on a season-long loan from Villarreal, was given the chance to improve his match fitness.
Cairney, Hull's current young player of the year, could not have wished for a better start to his first senior outing as he struck a sublime opener with just seven minutes gone.
Southend failed to clear a Hull attack and were punished as the 18-year-old seized possession on the edge of the area and delicately lobbed Steve Mildenhall with his left foot.
The goal more than made up for an earlier mistake when Cairney miscontrolled a pass from Peter Halmosi in the box.
Nathan Doyle, Hull's fourth right-back in four games this season, fired in a dangerous cross but it was too high for Craig Fagan.
Southend's best effort of the early stages was a tame header from Alex Revell which Tony Warner easily gathered.
The game then endured a lull and there was little to enthuse a 7,994 crowd that filled less than a third of the ground.
Southend's tiny following comfortably outsang their hosts for a period but it was not until the half-hour when they enjoyed some serious action as Alan McCormack shot over from an Anthony Grant cross.
Altidore then got into the game but was denied a shooting opportunity by a well-timed tackle from Jean Yves M'Voto.
The burly 19-year-old showed how well he can hit a ball three minutes before the interval after Hull won a free-kick 30 yards out.
Veteran Nick Barmby, captain for the evening, rolled the ball into his path and the American's powerful drive beat Mildenhall low to his left.
Hull might have hoped that goal would kill the game but Southend had no intention of surrendering tamely and responded immediately.
The Shrimpers got themselves back into the game on the stroke of half-time as the ball bounced kindly for Moussa and the Belgian made no mistake from the edge of the area.
Simon Francis blasted well over from distance early in the second half for Southend while Barmby also failed to hit the target at the other end.
Altidore had another attempt at goal from 25 yards but Mildenhall was not troubled.
A slip by Steven Mouyokolo almost allowed Southend an opportunity to equalise but Lee Barnard's cross was poor.
Barnard, scorer of both goals in the first-round win over Cheltenham, later found another opening but Warner saved his 20-yard shot.
Southend had an even better chance on 68 minutes as Grant found himself unmarked in the box but Warner slid across to block.
Hull had further cause for concern after McCormack broke clear down the right but his cross was just too high for Barnard.
Brown decided to step up the tempo by bringing on last weekend's match-winner Kamel Ghilas after 74 minutes but it was an earlier substitute, Geovanni, who eased nerves a minute later.
The ball fell to the Brazilian outside the box after Doyle's shot was blocked and the former Barcelona man hit a wicked bouncing shot past Mildenhall.
Hull's extra quality then began to show as Geovanni, Ghilas and Altidore combined to cut open the Shrimpers defence but the finish was lacking.
A long-range free-kick from Geovanni then flashed narrowly wide of the target.