The Argentine manager came to England after a fairly successful run with Spain's Alaves, but Southampton sit 17th in the EPL, just one point above the relegation zone with eight matches to play, reports Efe.
News of Pellegrino's dismissal on Monday follows the Saints' 0-3 loss last weekend away to Newcastle United, their fourth consecutive league match without a victory.
Two of Pellegrino's top assistants, Carlos Compagnucci and Xavier Tamarit, were also let go.
"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 said in a brief statement.
"The club will look to appoint a new management team as soon as possible, with the search for a replacement already underway," Southampton said.
Some observers were surprised when Southampton fired manager Claude Puel last summer after he guided the team to an eighth-place finish in the EPL and to the final of the EFL Cup, where they lost 2-3 to Manchester United.
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