The Republic of Ireland striker moved to the KC Stadium in January, for a fee reported to be in the region of £6 million.
However, after scoring four goals in 15 league appearances for Steve Bruce's men, Long has been snapped up by a Southampton side eager for reinforcements following the departures of several star names.
While the fee paid for Long has not been disclosed, the south-coast outfit are reported to have parted with £12m for the 27-year-old.
Southampton boss Ronald Koeman expects Long to complement another of his close-season signings, Graziano Pelle.
"Shane is a very good player. As a striker, he's different to Graziano Pelle, which is something we needed," Koeman told Southampton's official website.
"He brings ambition and a great mentality - he's always running and always working, and he's very down-to-earth. He's a great person, and we need that type of player.
"He brings a lot of experience to our squad because he's already played at Premier League level for a few years. He knows what we need at this level, and he can show that to our younger players as well."
Long revealed he had been surprised by initial news of Southampton's interest.
"I'm delighted. This came out of the blue for me but once I'd come and had a look at the training facilities and met the manager, it seemed like the right decision for me and my family," he explained.
"It was a hard decision for me to make, but when you come down to Southampton you see how big a club it is and how well set up it is.
"In theory it's a very good move for me, but all the hard work starts tomorrow when I get on the training pitch because I have to prove my worth."
Earlier on Thursday, Hull boss Steve Bruce acknowledged his club had little option but to sell when offered the chance to make a healthy profit on Long.
Bruce told the Hull Daily Mail: "We'd not been looking to sell Shane but it's a fantastic offer and we've decided to accept it.
"The challenge is always to become bigger and better and this money will be put towards strengthening again.
"Whether you are Cristiano Ronaldo or Lionel Messi, everyone in football has got their price.
"Myself and the owners didn't want to lose Shane but we accept it's a very good offer, especially when you consider what we paid in January."
