Saints have already begun the search for his successor and it is believed that they hope to make an appointment before Sunday's FA Cup quarter-final against Wigan Athletic.
NEWCASTLE UPON TYNE, ENGLAND - MARCH 10: Mauricio Pellegrino, Manager of Southampton looks dejected after the Premier League match between Newcastle United and Southampton at St. James Park on March 10, 2018 in Newcastle upon Tyne, England.
Southampton, who sit just a point above the bottom three, face a challenging run-in, with only three home matches remaining, including the visits of Chelsea and Manchester City, the latter on the final day of the season.
The Saints now languish in 17th position in the Premier League after suffering a 3-0 defeat at Newcastle on Saturday.
Changes are coming at Southampton, as the Premier League side attempts to fend off relegation this season.
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.
"We would like to place on record our thanks to Mauricio, Carlos and Xavier for their efforts during their time with Southampton", it continued.
Pellegrino took over from Claude Puel in June and was charged with building upon last season's eighth-place finish while freeing the players from the Frenchman's conservative approach. The south-coast club chose to act two days after a 3-0 loss at Newcastle, after which Pellegrino said some of his players "gave up".
The defeat at Newcastle was one of the low points of the season for the Saints, with Pellegrino saying after the game: "I haven't seen my team compete in this way this season, without the spirit you need to compete at this level".
Most Southampton fans appeared elated.