Southampton has only won one match in the Premier League this season and is at the bottom of the league.
"We have all been united in that it is urgent to improve the results", the club writes in a statement.
Martin, 38, took Southampton up to the English top division last season, but has lost five of his last six matches.
Simon Rusk, who previously coached the U21 team, will temporarily take over as head coach.
Earlier on Sunday, Wolverhampton's head coach Gary O'Neil was also let go, after Saturday's 1-2 loss to Ipswich – the team's fourth consecutive defeat in the Premier League.
Wolverhampton is second to last in the league.
