The Argentinean, formerly in charge of Estudiantes, Independiente and, most recently, Alaves, was officially announced as the new manager on Friday and was signed on a contract that would see him remain at the south coast club until 2020.
“I am really happy to become the new coach of Southampton Football Club,” he told the club’s official website.
“The club has a great reputation for having a strong and stable structure, competing in the Premier League and playing attractive football.
“I think my philosophy and the culture of the club will work well together. We have to be a team on and off the pitch.
“I want to make the supporters proud of the players and to feel part of the game every week.
“I want to win matches, be successful and develop a team spirit where everyone gives 100 per cent and supports each other.
“I am excited and passionate about what the future holds for us and look forward to meeting the players and beginning our preparation for the new season.”
Pellegrino replaces Claude Puel who was sacked in mid-June after the club determined that neither the players nor its fans were convinced that he was the man who would bring the team regular European football.
The 45-year old made a name for himself by guiding Alaves to the Copa del Rey final and ninth position in the La Liga table despite last season being their first in the Spanish top-flight since their 2005/06 relegation.