The 25-year-old, who has been known to play as a left-back as well as on the wings, has penned a long-term contract with the Saints for an undisclosed fee.
"He is very talented and is still at a very good age,” Southampton boss Nigel Adkins told BBC Radio Solent.
"We have also got Dan Harding who plays in his position and Jack Cork, so we have great competition for places.
"Southampton are a Premier League club in the Championship. The chairman's ambitions match mine, and I want to be part of something special here."
Fox could make his debut for the Saints against Barnsley at the weekend.