With the contest effectively a pool grand final after both sides accounted for the Lions earlier in the evening, the Bombers fell to a 22-point half-time deficit but dominated the second half.
Essendon had 14 Inside 50s to the Saints' three after half-time, but were unable to convert until an Angus Monfries snap at the eight minute mark, as St Kilda applied its renowned defensive pressure.
Majors to Jake Carlisle and impressive rookie Stewart Crameri brought the margin to three points, before the Saints steadied through Leigh Montagna.
Earlier, Essendon kicked the first goal of the game through an opportunistic snap from Crameri, but the Saints hit back immediately when former Cat Ryan Gamble marked and converted from 30 metres out.
From there St Kilda started to gain control, with goals to 2010 draftee Tom Ledger and Will Johnson and two to Stephen Milne putting the Saints 22-points clear at half-time.
Essendon will now take on Melbourne at Etihad Stadium next Thursday night.
St Kilda will also advance to the second round of the NAB Cup.
St Kilda 0.5.2 0.6.2 (38)
Essendon 0.1.4 0.5.8 (38)
GOALS
St Kilda: Nine-point goals: Nil Goals: Milne 2, Gamble, Ledger, Johnson, Montagna
Essendon: Nine-point goals: Nil Goals: Crameri 2, Monfries, Carlisle, Williams