Latics were edged out in a performance that they dominated for long spells by a controversial penalty that was dispatched by Mikel Arteta midway through the second half.
The midfield trio of David Jones, James McArthur and James McCarthy maintained the tempo of the game throughout but, Latics couldn't find the rhythm in the final third.
Roberto Martinez made three changes from last Saturday's defeat to Norwich City as Jordi Gomez and Mauro Boselli dropped to the bench for Shaun Maloney and Franco Di Santo, with David Jones returning for the injured Adrian Lopez.
After a thorough downpour earlier in the morning the playing surface was slick and ready for the engaging styles of both Arsenal and Latics.
Latics set the tone of the game from the early moments as McArthur and Jones broke up possession in midfield to find Stam and Beausejour out wide time and time again but, the delivery just wasn't quite there.
Arsenal created the first real chance of the game and Ali Al Habsi was made to fist the ball away at his near post when Arteta found Alex Oxlade-Chamberlain in space down the right.
Half way through the first 45 minutes came Latics' best chance of the game when an excellent Di Santo pass from the half way line set Arouna Kone on his way through on goal.
The Ivorian striker used his strength and pace to take the ball all the way into the box but, he lost his composure at the vital moment and dragged a left footed shot wide.
Latics' style of play continued to impress all the way to half time and the free flowing attacking play was creating spaces and chances.
After half time Latics started up again and were relentless in winning the ball back from deep and working their way up the pitch with intricate one and two touch passing.
Al Habsi was called to hand again though just four minutes into the half when he reached out a strong arm to save a close range Theo Walcott shot after Oxlade-Chamberlain danced down the left to provide the cross.
Just as Latics looked to be building momentum, Arsenal were awarded their penalty despite desperate cries from three sides of the DW Stadium that Jean Beausejour hadn't touched the falling Walcott.
The England international skipped into the box from the right wing and as Beausejour ran behind him he took a tumble to which referee Jon Moss pointed straight to the spot.
Spanish midfielder Arteta coolly finished and Latics were left dumbstruck.
And so the game started up once again and as it was for the first 60 minutes, Latics dominated, created gaps out wide but not being able to provide the finish.
Latics had a penalty claim of their own late on when substitute Jordi Gomez's shot looked to have struck Per Mertesacker on a raised fist.
Nothing was given and Latics were made to plug on in search of an equaliser.
The best chance to claim a point fell to James McArthur as Beausejour laid the ball across the midfielder's body just left of the penalty spot but his side footed shot trickled agonizingly wide of the post.
Arsenal held on to claim all three points but, Latics have good reason to feel frustrated after what was a confident performance and a game that never looked in danger of being a defeat.