The Super League side confirmed the move on their Twitter feed. British media reports have put a 13 million pound figure on the deal.
The 30-year-old Italy international, who played for his country at Euro 2016 and had a year left on his Southampton contract, made 81 appearances and scored 30 goals for his English club since joining from Feyenoord in 2014.
He was brought to the Premier League by Dutch manager Ronald Koeman, who has since moved to Everton.
Senegal's Papiss Cisse joined Shandong Luneng from relegated Newcastle United earlier this month.
Shandong are one from bottom of the Super League, in one of the two relegation berths, midway through the Chinese season. Former Bayern Munich boss Felix Magath is the head coach.
(Reporting by Alan Baldwin; editing by Andrew Roche)
