The 46-year-old Pellegrino joined on a three-year deal in June last year, weeks after leaving Spanish team Alaves.
"Assistant Manager Carlos Compagnucci and Assistant First Team Coach Xavier Tamarit have also parted company with the club".
Southampton is in 17th place, a point and a place above the relegation zone.
The Saints now languish in 17th position in the Premier League after suffering a 3-0 defeat at Newcastle on Saturday.
Under Pellegrino, Southampton have not won a home Premier League fixture since November and their only victory since then came in the form of a 3-2 triumph at fellow strugglers West Brom.
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The Saints now sit one point above the bottom three with eight matches remaining in the 2017/18 PL season.
The club said in a statement they want to "appoint a new management team as soon as possible, with the search for a replacement already under way".
Southampton have a talented squad of players and will hope that a new manager can drive the side up the table in the last eight games - everything is up for grabs with Swansea, West Ham and Bournemouth all still to play before the season comes to a conclusion.
The straw that broke the camels back proved to come on Saturday with the heavy3-0 defeat toNewcastle United on Saturday, with it now being unknown who will take charge of the FA Cup quarter-final with Wigan Athletic ahead of the global break.
Following Saturday's defeat, Pellegrino admitted that he "observed some players who gave up". "I haven't seen my team compete in this way this season without the spirit you need to compete at this level." .
"We have to say sorry to our fans because we didn't represent the values of the club", Pellegrino concluded.