The 25-year-old will be out of contract at Bloomfield Road at the end of June and has put pen to paper on a three-year deal with the U's.
Fox made over 100 appearances in three and a half years with the Seasiders and wants a quick return to the Championship with Colchester.
"From a personal point of view I don't want to be out of the Championship for too long and this is a great opportunity to get back, hopefully this coming season," he said.
"Everything here is set up for that situation, so I am really looking forward to being a part of it."
Source: Team_Talk