The England U21 international striker became Saints' record signing earlier this week.
"I had to think it over a lot," he told the Lancashire Telegraph. "I dreamed of winning promotion again and playing in the top flight with Burnley. That was my aim but it wasn't meant to be.
"It will always be the first fixture I look out for - especially when it's the derby games!
"It will be a good season for them and I will try to get on as many games as I can."
He added: "It has been hard for me to leave.
"There weren't any tears, I've tried to keep it as professional as I can. It has been emotional for my mum and dad though. They've said it will be weird seeing me without a claret and blue shirt on."