He eventually left the club in the summer, supposedly to retire, but ended his self imposed retirement to help Everton, who were flirting with the relegation zone, back in November of this season.
The latest 3-0 defeat at relegation rivals Newcastle on Saturday proved to be the final straw for the Southampton hierarchy, with the club in danger of being relegated from the top flight for the first time since being promoted in 2012.
Assistant manager Carlos Compagnucci and assistant first-team coach Xavier Tamarit have also left the club.
But Jeremy Wilson of the Daily Telegraph reports that Saints have "prioritised the need for Premier League experience and an immediate ability to galvanise their flagging squad".
Pellegrino took over at St Mary's on a three-year deal last June, but Southampton announced in a statement that they had parted company with the 46-year-old with the club only one place and one point above the relegation zone.
So they hired Pellegrino, and nine months on they must be regretting their decision.
Rather than look for an interim manager to see them through to the end of the season before reassessing things Pellegrino's successor will be a permanent appointment.
Former Watford boss Marco Silva instantly emerged as the frontrunner to succeed the Argentine on Monday night.
Another boss who lost his job earlier in the season, Slaven Bilic (formerly of West Ham), features in the upper echelons of the market, as does Gordon Strachan who remains a popular figure on the south coast having previously led the Saints to an FA Cup final and 8th place finish.
"Yes, you can lay the blame at the manager's door at how the team has played and been set but, but at the end of the day the players out on the football pitch have got to do the business".
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