The 26-year-old forward joined Championship club Nottingham Forest on a season-long loan deal on transfer deadline day.
"I still need a few answers from Southampton because I was enjoying my time there but I have no worries about coming here," Sharp told BBC Radio Nottingham. "It's a massive club with a great fanbase and I am looking forward to playing for Forest.
"Obviously I was only two games in [at Southampton] and have only come on for a few minutes each game but I spoke to the manager (Nigel Adkins) and it was best of me to come here, so I'm delighted to be here.
"From the short time I have been here I can see it's a good team spirit, there is good depth in the squad and there are some good players here."
Sharp joined Southampton from Doncaster Rovers in January 2012.