"Assistant Manager Carlos Compagnucci and Assistant First Team Coach Xavier Tamarit have also parted company with the club.
"We would like to place on record our thanks to Mauricio, Carlos and Xavier for their efforts during their time with Southampton, and wish them well for the future.
"The club will look to appoint a new management team as soon as possible, with the search for a replacement already underway."
In a cruel twist of fate, it was a defeat to his mentor yesterday that brought Pellegrino's time at St Mary's to an end.
Rafa Benitez's Newcastle United improved their chances of survival with a 3-0 win against the Saints at St James' Park at the weekend.
The Spaniard managed Pellegrino at Valencia before signing him at Liverpool where the Argentine also returned to work as a first-team coach with Benitez. He performed the same role with him at Inter Milan.
Southampton take on Wigan in the FA Cup quarter-finals this Sunday and due to the upcoming international break, they don't have another Premier League match until March 31 when they travel to London to face West Ham United.