The experienced 30-year-old was a free agent after leaving Saints following their relegation and has signed a two-year deal.
Advertisement
Advertisement
"I've heard amazing things about the club, it has an amazing training ground. It was a no-brainer to sign here," Lumley told the club website.
"It's exciting for me, hopefully I can get to work straight away and show what I can do."
Technical director Brian Tinnion added: "Joe is a goalkeeper with experience in the EFL and Premier League.
"He adds both strength and depth to the goalkeeping department and we're excited to work with him."