The Tunisia international, who turned 34 on Sunday, is a free agent after being released by the Blues and has agreed a two-year deal at St Mary's.
He said: "The first thing for me is the fact Southampton is a big club and I have known that since I came to England.
"As soon as I was given the opportunity to come here I accepted because I know this club has a big infrastructure.
"I think I can add strength and experience to the team and that's what I will bring to help us reach our targets."
Jaidi cost Birmingham £2million when he joined from Bolton in 2006.