The 22-year-old Senegal international is reported to have cost Ronald Koeman's side and follows Toby Alderweireld to St Mary's Stadium on deadline day.
The 22-year-old, who is is reported to have cost the Saints 10 million pounds, becomes Ronald Koeman's ninth signing of the transfer window and his second of deadline day.
Shortly before hand, the south-coast club had announced the arrival of defender Toby Alderweireld on loan from Atletico Madrid.
MORE: Beautiful people who love the beautiful game | Transfer photos
Mane, a Senegal international, spent two years with the Austrian side after leaving French club Metz and has now put pen to paper on a four-year contract at St Mary's Stadium.
Koeman told the club's official website: "Right from the first meeting I had with Les Reed, Sadio was on our list of potential players.
"I saw him playing last season and I was impressed with his qualities and with the physicality that he showed."