The 29-year-old has signed a three-year deal with the Foxes and could make his debut in Sunday's (AEST) Premier League game with Wolverhampton Wanderers at King Power Stadium.

The Foxes, which were seeking cover for the injured Wesley Fofana, paid a reported fee of £15 million ($30.2 million) for Vestergaard, who was in the final year of his contract on the south coast.

The centre-back's move comes after an impressive campaign at UEFA Euro 2020 where he helped Denmark to reach the semi-finals, where it lost 2-1 after extra-time to England.

"I'm very happy and I'm really excited to get going," he said. "It's a special club that has done very well over many years and I think the project is very, very exciting, even from the outside looking in. To be a part of it is a big thing for me.

"I know a couple of the players, and Kasper [Schmeichel] and Ryan [Bertrand] I know very well and get along with off the pitch, so that's going to be very easy. Just from my first impression of the guys in the dressing room, they're a good bunch, and I'm sure I'll settle in very quickly."

Vestergaard made 79 appearances for Southampton after signing from Borussia Monchengladbach in 2018, scoring four goals.

"The club would like to wish Jannik well for the future and thank him for his efforts during his time as a Southampton player," a Southampton statement read.