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The former Blackburn Rovers and England winger, 53, joined the Championship club last summer.
Wilcox joins United as technical director, where the club said he “will work with all technical areas of the football department”.
He had spent 11 years at Manchester City, where he was academy director before moving to the south-coast side.
“Whilst the club is naturally disappointed that Jason’s stay at Southampton has only lasted nine months, it wishes him well for the future,” Southampton announced in a statement.
“The club will continue to work closely with Russell Martin and his back-room team to ensure they have all the support they require moving forwards.”
Manchester United are also looking to hire Newcastle United sporting director Dan Ashworth.
He was placed on gardening leave after telling his club he wanted to join the Old Trafford outfit.
A senior former Manchester City executive, Omar Berrada, is set to join Manchester United as chief executive in the summer.
The changes follow Sir Jim Ratcliffe becoming a minority owner of the club earlier this year, a move which saw his Ineos Group take charge of football operations.
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