The 23-year-old joined the Serie A side from AZ Alkmaar in 2015 and made his full international debut earlier this year.
Hoedt said: “I’m really happy to be here. I think Southampton is a really big club, so it’s a good next step for me to come here and to play in the Premier League and try to help the best I can.”
Southampton vice-chairman Les Reed believes Hoedt will be a big success at St Mary’s and hinted he has been signed to play alongside wantaway defender Virgil van Dijk.
The Saints’ captain recently requested a transfer, but the club have refused to sell.
“Wesley is one of the most promising young defenders in Europe and represents a significant addition to our squad,” said Reed.
“We believe he has all the qualities to play a big part in our future, and we have worked hard to bring him to Southampton, with a number of other high-profile clubs interested in him.
“Wesley has proven his talent through his performances for Lazio, as well as the Netherlands, and we believe he can develop even further here at Southampton, alongside his international teammate Virgil van Dijk, as well as the likes of Jack Stephens, Maya Yoshida, Jan Bednarek and Florin Gardos.
“With Wesley joining those players, we believe we have the right amount of quality, depth and flexibility at centre-back to help us achieve our aims this season.”
Hoedt is Saints’ third summer signing, following the arrivals of midfielder Mario Lemina for a club record £18.1m and defender Jan Bednarek for £5m.