“We would like to express our thanks to Mark and his staff for all of their efforts during their time at St Mary’s,” the club said in a statement.
“The search for a new manager to take the club forward is already under way.”
Assistant first team manager Mark Bowen and assistant first team coach Eddie Niedzwiecki have also left the club.
Southampton, who were 2-0 up against Jose Mourinho’s United at home on Saturday at one stage, are 18th in the Premier League, just one point ahead of bottom club Fulham.