The Italian forward slipped down the pecking order at the Serie A side, but following a January switch to St Mary's Stadium he has scored six goals in his first four appearances for his new club.
Gabbiadini struck a brace in Southampton's 3-2 EFL Cup final defeat to Manchester United and is enjoying his time in English football, but the 25-year-old is surprised to have adapted so quickly.
"I'll be honest, even I didn't expect a start like this," Gabbiadini told Sky Sport Italia. "I am in a completely different style of football and everything is different here, from the city to my team-mates. I didn't think this would happen.
"I have to thank all my team-mates and the coach, who have been extraordinary and really helped me. The important thing is to give my all to make the fans happy."
Gabbiadini was often asked to play out of position at Napoli, where he had scored five goals this season before moving to Southampton, and he provided an insight into how life as a bit-part player affected his mood.
"I could not carry on like that," he said. "I finished games and came home and felt really sad, because I didn't feel that I was involved, it was a bad feeling.
"When I left, I told myself that I had to start over and I had to prove to myself that I was still capable of playing. Waiting six months would have been really hard."