Saints hope to have a new manager in place before facing Wigan on Sunday for a place in the FA Cup semi-finals.They are in their sixth successive season in the Premier League and have not finished lower than 14th in any of the previous five.
Pellegrino said he “observed some players who gave up” during Saturday’s game. Former England midfielder Jermaine Jenas called the performance “abysmal, shocking and borderline disgraceful” on Match of the Day.
Pellegrino, a former Argentina international, secured the equivalent of 0.93 points per game, the third-worst tally of any Southampton manager in the Premier League.
The club said in a statement they want to “appoint a new management team as soon as possible, with the search for a replacement already under way”.