Pellegrino was hired on a three-year deal in June 2017, after Claude Puel was dismissed. The Premier League club took the decision to fire him, after the Saints lost 3-0 at Newcastle on Saturday. The result leaves them just one place and one point above the relegation zone.
Southampton have won just one of their last 17 league matches.
“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 under way,” a club statement read.
Southampton’s next match is an FA Cup quarter-final at Wigan on Sunday, before a crunch clash with relegation rivals West Ham at the London Stadium on March 31.