Southampton started the final day of the season in the bottom three, but their dramatic 3-2 win over Sheffield United saw them secure safety.
That was at the expense of the Foxes, who were held to a goalless draw at Stoke City.
Relegation was doubly hard for Leicester, who also had to watch as the home fans celebrated promotion to the Premier League.
West Brom were confirmed as champions following a win at QPR.