We present archival high spatial resolution VLA and VLBA data of the nuclei of seven of the nearest and brightest Seyfert galaxies in the Southern Hemisphere. At VLA resolution (~0.1 arcsec), the nucleus of the Seyfert galaxies is unresolved, with the exception of MCG-5-23-16 and NGC 7469 showing a core-jet structure. Three Seyfert nuclei are surrounded by diffuse radio emission related to star-forming regions. VLBA observations with parsec-scale resolution pointed out that in MRK 1239 the nucleus is clearly resolved into two components separated by ~30 pc, while the nucleus of NGC 3783 is unresolved. Further comparison between VLA and VLBA data of these two sources shows that the flux density at parsec scales is only 20% of that measured by the VLA. This suggests that the radio emission is not concentrated in a single central component, as in elliptical radio galaxies, and an additional low-surface brightness component must be present. A comparison of Seyfert nuclei with different radio spectra points out that the ``presence of undetected flux on milli-arcsecond scale is common in steep-spectrum objects, while in flat-spectrum objects essentially all the radio emission is recovered. In the steep-spectrum objects, the nature of this ``missing flux is likely due to non-thermal AGN-related radiation, perhaps from a jet that gets disrupted in Seyfert galaxies because of the denser environment of their spiral hosts.