The ex-Saints forward has spoken about the St. Mary’s Stadium club, who are bottom of the Premier League after 11 games.
While Shearer knows that relegation is a serious possibility, he believes Martin deserves a bit more time to get things in order.
He told Betfair: "Southampton sit bottom and it's a really difficult situation because Russell Martin is sticking to his beliefs which got Southampton promoted to the Premier League.
"He's clearly a very good manager and it's clear that his players understand what he's trying to do, but the difference in standard from the Premier League to Championship is staggering.
"From an owner’s point of view, it must be a difficult moment, because you see your football club at the bottom of the league.
"The way the team is trying to play makes it frustrating at times, and that’s hard. But, you have to understand that the difference is massive and Russell has built something there in a specific way.
"It's a difficult one for them but I'd hope, from Russell Martin's point of view, they'll give him a bit longer to try and improve their position.
"We saw at the weekend what can happen with Ipswich going to Spurs and getting their first win, as did Wolves against Southampton.
"The one thing I will say is that Southampton play some nice football, but a lot of their football doesn't lead to the goals that they'll need to score to stay up.
"I was there on the opening day at St James’ Park, where Newcastle were down to ten men and Southampton couldn’t score.
"I thought that day they'd have problems putting the ball in the back of the net and they are the league’s lowest scorers which is a big problem."