O'Connor had levelled midway through the second half, again from the spot, after Myles Weston was bundled over as he ran through on goal.
But the Londoners rarely threatened Southend in a tepid first half, which saw the Essex side go ahead courtesy of a freak goal after nine minutes.
Simon Francis curled a free-kick towards goalkeeper Nikki Bull, who caught the ball and then stepped back over the line with the ball still in his hands.
Southend were in control but after the break Brentford emerged with more purpose, Weston and Charlie MacDonald both flashing efforts just wide.
The visitors had their chances, the dangerous Lee Barnard twice testing Bull with low drives from the edge of the box, but O'Connor ensured the points went to the Bees.