The 30-year-old striker scored 30 goals in 80 games for the Saints in a two-year spell at St. Mary's.
Since being at Southampton, Pelle has played 17 times for his countru, scoring seven goals and it remains to be seen whether he will still be considered for the national team while playing in China.
The striker will now join former Newcastle striker Papiss Cisse and former Bayern Munich and Fulham boss Felix Magath at Shandong.
Pelle becomes the third player to leave Southampton this summer, following the departures of Victor Wanyama to Tottenham and Sadio Mane to Liverpool.