I presume you have just the one Advance ticket, from Worthing to Exeter? Your post could be read to imply you have multiple tickets, only some of which are Advance tickets, but I don't think that is what you mean?
If it's just one through Advance, the
general rule is that you must stick to the trains shown on the ticket. You would be travelling without a valid ticket if you travel on different services without a good reason. The reason why the Worthing to Cosham train will be listed on the ticket is that you can reserve (nominal "counted place") seats on it, since Southern sell Advance tickets for journeys like Southampton to London on such services.
Many regional trains now have "counted place" reservations, even if Advance tickets aren't available between all of the stations which the train stops at. As a rule you do, unfortunately, have to stick to your reserved service and people have been penalised (very unfairly, in my view) for taking an earlier service to avoid a tight connection, or after making a tight (perhaps unofficial) connection from an on-time/early previous service.
However, in
your specific scenario of using a Southern, Thameslink, Great Northern or Gatwick Express (GTR) service on an Advance ticket also including other operators, there is an easement which allows you to take any suitable GTR service on the day of travel:
Where a passenger has a through Advance Ticket and reservations for a journey which involves using a Gatwick Express, Great Northern, Southern and / or Thameslink train, as a connection to or from a different operator’s train service.
For example, Advance Tickets routed "AP SLOUGH", “AWC &CONNECTIONS” or "LNER & CONNECTNS".
They can use any Gatwick Express, Great Northern, Southern or Thameslink train to complete their journey even if they have a reservation for a particular Gatwick Express, Great Northern, Southern and / or Thameslink train.
Please note, this doesn't apply where the connection is to or from a different Gatwick Express, Great Northern, Southern and / or Thameslink train.
So in this case, you can take an earlier Southern service if you like. But the same rule wouldn't apply if you the ticket you held was something like a Worthing to Cosham "Southern only" Advance ticket (not that this exists), or if you wanted to take a different GWR/SWR etc. service.
