Long played in both legs of Hull's Europa League qualifying tie against AS Trencín before the start of the 2014–15 Premier League season.
They were his last official matches for Hull, as on 14 August 2014, Long signed a four-year contract with Southampton for an undisclosed fee, believed to be in the region of £12 million.

Three days later, he made his first appearance for the club, replacing fellow debutant Dušan Tadić for the final 16 minutes of a 2–1 defeat at Liverpool in Southampton's opening game of the league season.
He almost scored a late equaliser when he nodded a header just wide of the post.
Long scored his first Southampton goal against Stoke City in the League Cup on 29 October, putting his team 2–0 up in a 3–2 victory.

He scored his first league goals for the club with a brace in a 2–0 win over Leicester City, having come on as a substitute for Sadio Mané with 22 minutes remaining.

On 16 May 2015, Long assisted teammate Sadio Mané twice inside three minutes as the latter scored the fastest ever hat-trick in the history of the Premier League during the first half of a 6–1 demolition of Aston Villa.
Later on in the first half, Long himself scored twice to give the Saints a 5–0 lead five minutes from half-time.
The second of these efforts was a 35-yard lob which was named as Southampton's Goal of the Season.

In his first appearance the following season, Long scored Southampton's final goal in a 3–0 victory over Dutch opponents Vitesse Arnhem at St Mary's Stadium in the first leg of the Europa League third qualifying round.
He scored his first Premier League goal of the season on the opening weekend, coming off the bench against Newcastle to head the score level, bringing the game to 2–2.
On 26 December 2015, Long scored two goals against Arsenal in a game that ended 4–0 to Southampton.
He scored his 100th career goal in English football in the 4–2 home win over Manchester City on 1 May 2016.

On 21 July 2016, Long signed a new contract with Southampton, extending his stay with the club until 2020.
He ended a barren run of 23 games without a goal for Southampton on 31 December 2016, when he headed in against West Bromwich Albion at St. Mary's to give the home side a 1–0 lead.
The match finished 2–1 to the visitors.

On 5 April 2019, he became only the fourth Irish player to score 50 Premier League goals, after Robbie Keane, Niall Quinn and Damien Duff when he scored in a 3–1 defeat to Liverpool.

On 23 April 2019, Long scored the fastest goal in Premier League history against Watford, clocking in at 7.69 seconds after kick off.
The record was previously held by Ledley King when he scored after 10 seconds for Tottenham Hotspur against Bradford City in December 2000.

On 4 June 2020, it was announced that Long had signed a two year contract extension with Southampton, which extends his stay until the 2021–22 season.
Long played in both legs of Hull's Europa League qualifying tie against AS Trencín before the start of the 2014–15 Premier League season. They were his last official matches for Hull, as on 14 August 2014, Long signed a four-year contract with Southampton for an undisclosed fee, believed to be in the region of £12 million.
Three days later, he made his first appearance for the club, replacing fellow debutant Dušan Tadić for the final 16 minutes of a 2–1 defeat at Liverpool in Southampton's opening game of the league season. He almost scored a late equaliser when he nodded a header just wide of the post. Long scored his first Southampton goal against Stoke City in the League Cup on 29 October, putting his team 2–0 up in a 3–2 victory.
He scored his first league goals for the club with a brace in a 2–0 win over Leicester City, having come on as a substitute for Sadio Mané with 22 minutes remaining.
On 16 May 2015, Long assisted teammate Sadio Mané twice inside three minutes as the latter scored the fastest ever hat-trick in the history of the Premier League during the first half of a 6–1 demolition of Aston Villa. Later on in the first half, Long himself scored twice to give the Saints a 5–0 lead five minutes from half-time. The second of these efforts was a 35-yard lob which was named as Southampton's Goal of the Season.
In his first appearance the following season, Long scored Southampton's final goal in a 3–0 victory over Dutch opponents Vitesse Arnhem at St Mary's Stadium in the first leg of the Europa League third qualifying round. He scored his first Premier League goal of the season on the opening weekend, coming off the bench against Newcastle to head the score level, bringing the game to 2–2. On 26 December 2015, Long scored two goals against Arsenal in a game that ended 4–0 to Southampton. He scored his 100th career goal in English football in the 4–2 home win over Manchester City on 1 May 2016.
On 21 July 2016, Long signed a new contract with Southampton, extending his stay with the club until 2020. He ended a barren run of 23 games without a goal for Southampton on 31 December 2016, when he headed in against West Bromwich Albion at St. Mary's to give the home side a 1–0 lead. The match finished 2–1 to the visitors.
On 5 April 2019, he became only the fourth Irish player to score 50 Premier League goals, after Robbie Keane, Niall Quinn and Damien Duff when he scored in a 3–1 defeat to Liverpool.
On 23 April 2019, Long scored the fastest goal in Premier League history against Watford, clocking in at 7.69 seconds after kick off. The record was previously held by Ledley King when he scored after 10 seconds for Tottenham Hotspur against Bradford City in December 2000.
On 4 June 2020, it was announced that Long had signed a two year contract extension with Southampton, which extends his stay until the 2021–22 season.
Shane Long