The Saints moved quickly to name a new boss following the sacking of Ralph Hasenhuttl on Monday morning, with Jones leaving Luton Town to take the job at St Mary's.
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Jones, who was in attendance at Southampton's Carabao Cup third round victory over Sheffield Wednesday, has signed a three-and-a-half year contract.
Chris Cohen and Alan Sheehan have also left Luton to be part of Jones' coaching team.
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"I'm really proud to be given this opportunity," said Jones after making his first step up to Premier League level with Southampton.
"I know a lot about the club from back in the days of The Dell, to coming here to St Mary's, and it's a wonderful football club.
"A lot of my family are Southampton fans, which doesn't half help, and I feel really, really proud to be given the opportunity, and I'm really looking forward to getting started.
"Obviously, I wanted to manage in the Premier League, I've dreamt of that since I've become a coach or a manager, but this club in particular - because of how it's run, because of the structure, because of how they look deeper than just results - really appeals to me."
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The south coast club had been looking for a new boss after axing Hasenhuttl on Monday morning after almost four years in charge.
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While a 4-1 defeat to Newcastle at the weekend had spelled the end for the Austrian coach, Southampton moved quickly with the club sitting in 18th in the Premier League table.
While Jones' second spell in charge at Luton ended with a 2-0 defeat against his old club Stoke City, there's no doubt the Hatters will be gutted to lose a coach of the 49-year-old's pedigree.
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A move to the Premier League was always going to be tough to turn down, however.
Saints are understood to have paid Luton in the region of £2.5million compensation, with Jones taking charge of his first game at Liverpool on Saturday.
Jones has done a remarkable job at Kenilworth Road, taking the Hatters from League Two to second in League One in three years.
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The Welshman left to join Stoke in January 2019 but was sacked nine months later. Jones then went back to Luton in the summer of 2020, guiding them to the Championship play-offs last season.
Luton are currently ninth in the Championship with 29 points from 20 matches.