That latest setback left Saints languishing just one place and one point above the relegation zone.
The Argentine manager came to England after a fairly successful run with Spain's Alaves, but Southampton sit 17th in the EPL, just one point above the relegation zone with eight matches to play, reports Efe.
Pellegrino had replaced the now-Leicester City manager Claude Puel last summer after the Frenchman was dismissed despite a strong top-half finish and a League Cup runners-up medal.
"The club will look to appoint a new management team as soon as possible, with the search for a replacement already underway".More news: Paul Ryan and Other Republicans Try to Talk Trump Out of Tariffs
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Southampton, who are the ninth Premier League club to change manager this term, are in their sixth straight season in the top flight and have not finished lower than 14th in that time.
"I think they may have got a little but too complacent and thought they are too good to be in this position go down", the Saints legend added.
The team, who are now one point outside the relegation zone, have taken on the form of their coach in recent months in that they've become nearly entirely anonymous, with no recognisable approach or identity to speak of.
Pellegrino, who leaves with the third worst Southampton managerial record in the Premier League, appeared to be bracing himself for the sack after last weekend's loss to Newcastle as he admitted he "observed some players who gave up".
They are in the FA Cup quarter-finals but have five away games out of their last eight in the league.