The Argentinian has been appointed on a three-year deal and replaces Claude Puel who was sacked last week.
Pellegrino, 45, caught Southampton’s eye with his work at Alaves last season who he led to ninth and the Copa Del Rey final and further impressed in his interview.
Pellegrino said: “I am really happy to become the new coach of Southampton Football Club. “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, who was also on Crystal Palace’s radar, is no stranger to English football having played and coached at Liverpool.
He has also managed Valencia, Estudiantes and Indipendiente in his homeland.
Vice chairman Les Reed said: “We had an impressive list of candidates and went through a comprehensive interview process.
“Mauricio impressed us throughout with his depth of knowledge, motivation and ability, communicating this in a professional and passionate way.
“He has an excellent understanding of the Southampton Way, and his style of play and aspiration matches the philosophy, culture and ambition of the club.
“We firmly believe Mauricio is the right person to help us take the next steps. He knows our players and believes we have a great squad that with some fine-tuning will be able to deliver continued success.
“Mauricio believes with the quality we have we can play exciting, attacking football, taking the game to our opponents by playing a high-intensity game. He will continue to develop and introduce young players whilst building on the core of experience that we have in the squad.
“During the recruitment process Mauricio quickly became our first choice and, while he had other options, we are delighted he feels that St Mary’s is the right place for him and we believe he is the right fit for us.
“We are looking forward to working with Mauricio to take the club forward and achieve more success with this team.”