The 28-year-old Italian has penned a three-year contract with the Premier League club for an undisclosed fee.
Pelle worked with new Saints manager Ronald Koeman during the past two seasons at Feyenoord, scoring 55 goals in 66 games.
"I'm really happy that it's finally signed," he told the club's official website.
"I had some teams interested in me, but this is going to be the best choice for me because the club wants to keep improving every year.
"The talks between us were only short in terms of how long it took to convince each other. I was pretty sure that, for me, this would be a great step."