Keogh registered his intent in the fifth minute when he curled a superb shot from the left edge of the box which hit Chris Kirkland's left post and bounced out.
But the Republic of Ireland international made no mistake a minute later when he rose unmarked to head home a Nenad Milijas free-kick which went in off the same post.
Wigan came more into the game thereafter and Charles N'Zogbia was played in one-on-one with Wayne Hennessey but scuffed his shot and the Wolves keeper saved.
In the second period, Wigan started at a higher tempo but Keogh had a legitimate penalty shout turned down when he went down under a challenge from Titus Bramble, and was then booked for diving.
At the other end, substitute Jason Scotland also had a penalty shout turned down while fellow substitute Scott Sinclair headed wide but Wolves held firm for the victory - their first away win in 30 Premier League matches.
On their last appearance in the top flight in 2003/04, Wolves failed to win outside Molineux, losing 12 and drawing seven times.
Fully deservedBut they fully deserved this win after catching their hosts cold from the opening whistle and so spoiling Wigan manager Roberto Martinez's 'homecoming'.
After Jordi Gomez had blazed over Hennessey's weak punch from a second-minute Jason Koumas free-kick all the early chances fell to the visitors.
They should have taken the lead in the fifth minute when Keogh, on the left of the area, cut back onto his right foot to curl a shot which rebounded back off the far post.
However, he made up for it soon after by putting his side ahead with the help of the same upright.
Keogh rose above a static Paul Scharner to glance Milijas' left-wing free-kick past Kirkland and in off the woodwork.
Greg Halford should have made it 2-0 in the 15th minute when Keogh flicked on Milijas' corner but the unmarked midfielder ballooned the ball over from eight yards.
Gomez headed in N'Zogbia's right-wing free-kick only to be flagged offside in a rare attack against a visiting side which had enjoyed all the early play.
Fight backWigan began to fight their way back and sprang into life in a two-minute spell late in the half as N'Zogbia had a shot deflected over, Gomez fired the resulting corner into a crowd of players and Bramble headed another corner wide.
In that same period N'Zogbia had their best chance of the game when he ran on to Hugo Rodallega's flick on only to shoot tamely at Hennessy.
Wigan began the second half with much more purpose, Rodallega curling a free-kick at Hennessey after Koumas was fouled by Richard Stearman having charged down a clearance.
However, 11 minutes in came a moment of controversy when referee Mick Jones booked Keogh for diving in the penalty area when it appeared Bramble had just caught him with an outstretched foot.
Stearman was booked in the 72nd minute for going in late on N'Zogbia before Scotland also had a penalty shout turned down, although Karl Henry appeared to produce an inch-perfect tackle to deny him.
Wigan stepped up the pressure and Rodallega's first-time shot from Mario Melchiot's pass was deflected wide by Jody Craddock.
Substitute Sinclair then headed Gomez's cross agonisingly wide at the far post and Scharner fired over as battling Wolves held firm to record their first points of the season.
It left Wigan manager Martinez to work out how to find a way to get his side to turn their vastly superior second-half possession into clear-cut chances.