Just three days after a successful trip to West Ham in the Premier League, Bolton are clocking up the miles once more on the first step towards what Coyle hopes will be a place at Wembley in March.
Quite aside from the length of the journey, the Trotters chief is wary of Southampton's ability.
Alan Pardew's men may have struggled for form so far this term but Coyle does not expect that situation to last long.
"It is probably the toughest tie we could have got," said Coyle. "Southampton are a big club and while I know they are in League One now, I truly believe by the end of the season, they won't be."
It means Coyle will select an experienced line-up this evening, even if a few senior stars, such as Jussi Jaaskelainen and Kevin Davies, will get a rest.
As the man who guided Burnley into the semi-finals two years ago - where they were unlucky to lose against Tottenham - and then saw how that run galvanised the Clarets, who were ultimately promoted through the play-offs, Coyle knows the benefits that can emerge from extended participation in a cup competition.
"I have always loved cup competitions and I have always believed they can work alongside a league programme," said Coyle, who is set to give a debut to Hungary-born 21-year-old keeper Alex Bogdan.
"You want to win every competition you enter.
"We showed that at Burnley. The Carling Cup run we had there galvanised us and took us on collectively.
"But over the course of that season, we played 61 games, so you do have to juggle things around a little bit."