The 28 year-old joins Saints for an undisclosed fee, and has signed a three-year contract to keep him at St Mary’s until the summer of 2017.
Pellè joins from Dutch side Feyenoord, where he spent two goal-laden seasons working under Saints’ new manager, Ronald Koeman.
Since Koeman signed him from Parma in the summer of 2012, the forward has netted 55 times in just 66 matches.
Koeman and Pellè had previously worked together at AZ Alkmaar, and the pair now link up for a third time.
The forward becomes Saints’ second signing of the summer, following the capture of Dušan Tadić from Eredivisie side FC Twente on Tuesday.
“I’m really happy that it’s finally signed,” said Pellè moments after putting pen to paper.
“I had some teams interested in me, but this is going to be the best choice for me because the club wants to keep improving every year.
“The talks between us were only short in terms of how long it took to convince each other. I was pretty sure that, for me, this would be a great step.
“[Ronald] Koeman and I worked together for two amazing years at Feyenoord, and I hope that it will be the same here.
“There are many good things about this club other than the trainer. The Premier League is amazing, and Southampton is showing year-by-year that it wants to improve.
“Last year, everyone in Europe was impressed by the performances of the team, and it’s clear that the club is growing. It’s great to be here.”
First Team Manager Koeman said of his new signing: “I had Graziano in my team for my last two years at Feyenoord. He scored a lot of goals – more than 50 in two seasons – and they brought a lot of points to the club.
“Goals mean points, and we needed a good player in that position after Rickie Lambert left.
“In terms of his qualities, he’s a tall striker with a lot of movement and he’s fast. He’s a player who gives confidence to the team because he keeps the ball, and he’s very dangerous in front of goal.
“He’s almost 29 years old, so he brings a little bit of experience to a young team.
“Overall, we’re pleased to have brought in Graziano after signing Dušan Tadić earlier this week. This shows we are committed to strengthening the team and progressing after last season.
“We know that we need some more players because we haven’t occupied all of the positions. We need more players to bring the squad to where we need and expect.”