Jones, 22, was wanted by Derby and Birmingham but says a word from Trinidad & Tobago team-mate Yorke helped make up his mind to join the Black Cats.
Jones was allowed to leave Saints after going on strike. He said: "Of course I spoke to Dwight and he only said good things about Sunderland and what they want to achieve. He gave me some advice and I'm sure I've made the right move.
"I hope I left Southampton on good terms. I guess they didn't want to see me go but I wanted to test myself in the Premier League. It is natural that they were holding out for the best price.
"That is football. I was a little bit worried that it wouldn't come off but even if it went to the last seconds of the transfer window, I would have done everything to get it sorted."