The Republic of Ireland international bagged eight Premier League goals last term and only moved to the KC Stadium in January.
Hull boss Steve Bruce said earlier on Thursday that he was reluctant to lose Long, but the club could not refuse the offer from Southampton, believed to be in the region of £12 million.
"Myself and the owners didn't want to lose Shane but we accept it's a very good offer, especially when you consider what we paid [roughly £6m] in January.
"I've got no issues. Ever since I walked through the door of this club the board have supported me in every possible way and I'm sure that will be the case as we look to reinvest.
"In an ideal world the money would have come a month ago but it's come now and we'll deal with it."
We would like to place on record our thanks to Shane for his service and wish him well for the future #UTT— Hull City Official (@HullCity) August 14, 2014
Long scored three goals in 17 games for West Brom last season before making the January move to Hull.
The Republic of Ireland international scored 11 goals during the 2012-13 season playing alongside loanee Romelu Lukaku.
Southampton have sold Rickie Lambert to Liverpool this summer but bolstered their strikeforce with the signing of Graziano Pelle.