"I am delighted that Steven, another influential leader in the dressing room and on the pitch, has committed his future to Southampton Football Club," Southampton executive director of football Les Reed said in a statement.
"He is leading Northern Ireland's campaign at Euro 2016 and representing his country and our club as a true ambassador," Reed added.
"Southampton fans know only too well how much energy and effort he puts into games and our players know that when needed he will be there to help them."
Davis has captained Northern Ireland to a 1-0 defeat by Poland and a 2-0 victory over Ukraine at this year's finals. They face Germany in their final group game on Tuesday.
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(Reporting by Philip O'Connor; Editing by Ken Ferris)
