The Italian has penned a three-year deal with the Saints, leaving Feyenoord and following former boss Ronald Koeman to the south coast.
He signed playmaker Dusan Tadic on Tuesday and the capture of Pelle will be seen as another important move.
Pelle started his career with Lecce and had a number of loan spells before moving to AZ Alkmaar, where he first made contact with Koeman.
A return to Italy and Parma followed, before taking in Sampdoria and then Feyenoord and Koeman again. His goalscoring feats of last season mean he is the second highest-scoring Italian to have played outside of Serie A.
"I'm really happy that it's finally signed," Pelle told his new 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.
"[Ronald] Koeman and I worked together for two amazing years at Feyenoord, and I hope that it will be the same here.
"There are many good things about this club other than the trainer. The Premier League is amazing, and Southampton is showing year by year that it wants to improve."
Koeman believes he has got a rare commodity in his new man.
He said "I had Graziano in my team for my last two years at Feyenoord. He scored a lot of goals - more than 50 in two seasons - and they brought a lot of points to the club.
"Goals mean points, and we needed a good player in that position after Rickie Lambert left.
"In terms of his qualities, he's a tall striker with a lot of movement and he's fast. He's a player who gives confidence to the team because he keeps the ball, and he's very dangerous in front of goal."
- Sports & Recreation
- Ronald Koeman
- Rickie Lambert
- Mauricio Pochettino