The 28-year-old Sheffield-born frontman has agreed a two-year contract to return to Yorkshire.
Sharp signed for Saints from Doncaster in January 2012 and struck nine goals in the final three months of their promotion-winning season.
However, he could not force his way into any of Saints' Premier League squads and was sent out on loan to Nottingham Forest, Reading and back to Doncaster last season.
A statement on Southampton's website read: 'The club would like to thank Billy for his service, particularly during the promotion-winning season from the Championship where his late run of goals helped the team to a second-place finish.'
It is believed that Leeds agreed to pay Sharp the £600,000 that remained on his deal at St Marys.
In return Sharp agreed to take a 50 per cent wage cut to ensure a move to Elland Road.
Sharp could make his Leeds debut against Middlesbrough at Elland Road on Saturday.