Marc-Antoine Fortune's first Latics goal sealed a crucial three points away from home, as his 77th minute effort set up by substitute Grant Holt pushed Latics on to victory in a game which saw them have four efforts cleared off the line.
Owen Coyle made six changes from Latics' venture to Russia in the Europa League, with Marc Albrighton coming in to make his first start for the club.
Despite being bottom of the Championship and enduring a difficult start to their home form, Yeovil came out of the traps with a feisty attitude as they attacked Latics with their energy and forced themselves forward from the off.
It was a real test for Latics who had been preparing the day before the game at local club Taunton Town, as they had to dig in and ride pressure in the opening exchanges.
The Glovers' pressure forced a mistake from Lee Nicholls on 14 minutes when the 21-year-old only half cleared low towards Paddy Madden 30 yards out.
Yeovil's talisman opened the ball up out of his feet and but for Ryan Shotton's well positioned headed clearance Latics would have been behind as Madden chipped Nicholls, but saw his effort denied on the line.
Half chances were the order of the day until just before half time, with Yeovil's only other testing effort tipped out of the top corner, helping him to regain his rhythm after the earlier slip up.
The game became scrappy half way through the first half until Latics were twice denied with clearances off the line in the final few moments.
First Callum McManaman's twisting dribble into the area down the left wing resulted in a left footed shot being hacked away, but from the resulting clearance Latics carried on their assault on the Yeovil goal.
Albrighton provided a fierce low cross which was only half cleared, and then Latics were denied again on the line when Marc-Antoine Fortune looked to have followed the ball in for the game's opening goal.
Roles reversed at the start of the second half and it was Latics who came out the strongest, as Albrighton turned in an impressive performance, linking up well with the games eventual match winner Fortune.
Ben Watson struck wide, Boyce hit the side netting and Albrighton had an excellent low, left footed effort tipped around the post by the in form Hennessey.
On 65 minutes it was a double dose of bad luck again for Owen Coyle's men, as first Fortune saw an effort in a goal mouth scramble cleared off the line and almost immediately after that Ryan Shotton's header was also denied by the wall of Yeovil players behind Hennessey.
Yeovil didn't give up the chase for victory either, as they continued to mount dangerous attacks, but the consistently impressive Nicholls had his duties covered between Latics' sticks.
On 76 minutes Grant Holt was introduced for McManaman, immediately making his presence known, against a side he has scored seven goals against during his career.
The former Norwich City man used his strength to win the ball deep into the Yeovil half down the right side, and in the blink of an eye Latics took the lead as his perfect low cross into the danger zone was met by Fortune, following the ball in for his first ever Latics goal.
Over 500 Latics supporters celebrated their first away goal since the opening day against Barnsley, but the work wasn't done their and concentration remained key.
Joel Grant tested Nicholls twice late on, as Latics brought on James McArthur and Roger Espinoza in an attempt to stifle their hosts.
The pair succeeded in doing so and with seconds left McArthur almost helped Latics double their lead, as Nick Powell escaped on the half way line to counter two-v-one along with McArthur, but the crucial final ball from the Manchester United loanee was neither cross or shot as the referee blew the final whistle with the ball trickling out of play.
Victory on the road for Latics moved them up to tenth going into the international fixtures, as Fortune provided the inspiration at the end of two long haul fixtures for the club.