The 23-year-old has moved to St Mary's from French side Lyon for an undisclosed fee and has signed a four-year contract with Saints.
Lovren, who has made 17 appearances for Croatia, started his career with Dinamo Zagreb before joining Lyon in January 2010.
He scored for Croatia in their 2-1 win over Wales at the Liberty Stadium in March and has also reportedly attracted the interest of Chelsea in the past.
Southampton manager Mauricio Pochettino told the club's official website: "We are very happy because Dejan is a very good player with good potential.
"In pre-season it's important to have all players working together, so this is a very good job by the chairman and all of the staff at the club."
Lovren said: "I've spoken a lot with the chairman and the coach, and this is a great project.
"They told me a lot of positive things, and I know the history of the club. It's a big club and I'm very happy that I can be a part of it.
"After three-and-a-half years in France, it was a dream to play in the Premier League. Now the dream has come true.
"I have it in my mind to do something big, and I see the same thing in the club.
"We are a young team, and I am a young player also so I hope I will stay here for a long time."