The 27-year-old left-back has agreed a three-year contract at the City Ground, which will take effect when his loan agreement comes to an end.
Fox has admitted that he is excited by the prospect of playing for the Championship side.
"Nottingham Forest is a massive club with so much history. It's a proper football club with proper fans and I wanted to be a part of that," he told the club's official website.
"I always loved playing at The City Ground because it reminds me of Liverpool and Everton's grounds with an amazing atmosphere.
"There are big expectations at the club and that means I've got to come in and hit the ground running. I've played the majority of my football in the Championship and it is a league I know really well, so I'm hoping to make a big impact."
Fox joined Southampton from Burnley in 2011.