The 28-year-old is the second summer signing for the Saints - following Dusan Tadic from FC Twente - after spending two seasons at the Dutch outfit.
Pelle scored 27 goals for the Rotterdam club last season and will be playing under Ronald Koeman for the second time.
"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."
Southampton begin their 2014/15 campaign away at Premier league runners-up Liverpool on August 16.