The on-loan Chelsea defender made a huge impact with Saints during the first half of the season and expressed a desire to stay at St Mary's for the remainder of the campaign.
But instead the 19-year-old opted to join the Hornets when their new manager Brendan Rodgers, Cork's reserve-team boss at Stamford Bridge, came calling.
"Now the dust has settled I wanted to thank everyone at Southampton and the fans," Cork told the club's official website.
"The club gave me an opportunity to continue my development with a great set of young players, under a management team that play football the right way.
"Brendan Rodgers made me captain of Chelsea's Under-18 side when I was still at school and captain of the reserves at 17. To be asked to come and play for him at first-team level was something I could not turn down. We left it right until the end because it was the hardest decision of my career so far."