Roerslev, 26, spent six years with the Bees, helping the club achieve promotion to the Premier League in his second season, a campaign in which he made 22 appearances.
He provided an assist for their second goal in a 2-0 win over Swansea in the 2021 Championship play-off final, and spent the second half of last season on loan at Wolfsburg.
The former Copenhagen prospect played seven times in the Bundesliga and was named on Brentford's bench against Nottingham Forest on Sunday.
Upon joining Saints, Roerslev said: “I’m a happy guy, very excited to get started. I had some very, very good talks with the coach, and I’m coming here to play.
Mads Roerslev made over 120 appearances for Brentford.Mads Roerslev made over 120 appearances for Brentford. (Image: Rhianna Chadwick/PA)
“I see Southampton as a really good team who controls a lot of games, works hard and suits my way of playing. It was just an overall positive feeling about everything.”
A right-sided player, he has played 94 games in the Premier League over the past four seasons, helping Brentford establish themselves as a top-flight club.
A regular youth international through to Under-21 level, he made his senior debut for Denmark last November.
Group technical director Johannes Spors added: “Mads comes to us with lots of experience, both in the Premier League and in the Championship.
"He knows what it takes, not only to win promotion from this division, but to build on those foundations at the very highest level.
“At 26 years old, he arrives at a good age to help us in the short term, as well as in the seasons ahead.”
Roerslev is Southampton's third signing of the summer, following young defender Joshua Quarshie and USA international Damion Downs.