The life-sized models of Mary and Joseph in a stable caught fire outside Shirley Warren Action Church.
Firefighters were called at about 20:00 GMT on Saturday after the blaze was spotted from a nearby house.
The Reverend Jenny Elliot said the scene had taken about 70 hours to build and her congregation would be "very disappointed" by its destruction.
But she added that she and another church staff member would stand in as live models for a Christingle service due to be held later.
The Rev Elliott said: "I feel very sad about it, but we are determined that the show still goes on."
She said the scene had been outside the church for about three weeks and it had created "a lot of interest" in the area.
A few days earlier a new sign located outside the church that cost about Â£100 had also been destroyed, the Rev Elliot said.
She said the fire had caused damage estimated at about Â£400 and she had reported it to Hampshire Police.
A Southampton church nativity scene has been destroyed in a suspected arson attack just days before Christmas.