The 27 year-old has signed a four-year contract and joins from fellow Barclays Premier League side Hull City for an undisclosed fee.
This will be the Irish international’s sixth season playing in the top flight, having previously competed at this level with West Bromwich Albion and Reading.
He now becomes Southampton’s latest summer signing and joins in time for this weekend’s season-opening trip to Liverpool.
First Team Manager Ronald Koeman commented: “Shane is a very good player. As a striker, he’s different to Graziano Pellè, which is something we needed.
“He brings ambition and a great mentality – he’s always running and always working, and he’s very down-to-earth. He’s a great person, and we need that type of player.
“He brings a lot of experience to our squad because he’s already played at Premier League level for a few years. He knows what we need at this level, and he can show that to our younger players as well.
“Shane will be an important player for us and our future.”
Long added: “I’m delighted. This came out of the blue for me but, once I’d come and had a look at the training facilities and met the manager, it seemed like the right decision for me and my family.
“It was a hard decision for me to make, but when you come down to Southampton you see how big a club it is and how well set up it is.
“You look at how well they did last season and they are developing a new squad for this year to try and achieve those accomplishments again, and hopefully I can be a big part of that.
“Southampton play a brand of football that’s enjoyable to watch, and I’m sure it’ll be enjoyable to play in as well. I think the formation they play will suit me, and the manager has a lot of knowledge about football and I’m looking to learn off him.
“In theory it’s a very good move for me, but all the hard work starts tomorrow when I get on the training pitch because I have to prove my worth.”