Players at Saints and the other 91 professional football clubs were warned earlier this season to blow the whistle if they are approached about illegal betting or match-fixing, according to Professional Footballers' Association chief executive Gordon Taylor.
Advisers from the PFA visited every club and the dangers of become involved in such activities were spelled out clearly.
It comes after Liverpool today insisted they have had no contact from Europol or any other body in connection with match-fixing allegations against 2009 Champions League opponents Debrecen.
The European law enforcement agency said one Champions League match played in England is under investigation - and according to Danish newspaper Ekstra Bladet, Europol sources said they are looking at Hungarian side Debrecen who lost 1-0 to Liverpool at Anfield in 2009.
There is no suggestion that anyone at Liverpool was involved in any wrongdoing.
PFA boss Taylor said the issue of match-fixing was "very high on our agenda".
He said: "At the beginning of the season we had a team going out to all the clubs telling the players there should be no betting on any competition they have any association with, and that any approaches should be reported to the authorities.
"We have had some problems with one or two games in the recent past where players at Accrington Stanley and Bury were charged and sanctioned, so although it is not commonplace in our country we are not complacent or naive.
"We need to be vigilant at all levels of the game."
The Europol investigation is centred on the Debrecen keeper Vukasin Poleksic, according to Ekstra Bladet, who in 2010 was banned for two years by UEFA for failing to report an approach to fix matches for a betting syndicate.
But a Liverpool spokesman told Press Association Sport: "We have had no contact from Europol or any other organisation over this."
Debrecen said they will not respond to the allegations.
"Neither DVSC or the player wants to react to this news. Everything on this matter has been dealt with in 2010," said a statement on the Hungarian club's website.
Poleksic failed to report that fixers approached him before playing Fiorentina in October 2009 - the Hungarian champions conceded four first-half goals to lose 4-3 - and the Court of Arbitration for Sport upheld the ban. It said it could not prove the result was manipulated, but UEFA rules require players and officials to report corruption attempts.
Europol have not detailed exactly which Champions League match in England is under investigation but that it took place "in the last three to four years" and is one of 380 games being studied.
However it emerged yesterday neither the Football Association nor UEFA were aware of any such probe.
Wales manager Chris Coleman said he had been staggered at the number of matches revealed to be under investigation and that it reflected badly on professional sport.
He told a news conference: "I am gutted if I am honest with you, I am disappointed at the level of it. It is staggering, sad.
"When I worked abroad I saw one or two things that made me raise my eyebrows but the extent of this is really very sad.
"I have been in football a long, long time and never doubted any referee, opposition players, and certainly not my own. I've seen a ref have a bad game, but never thought it was because of corruption.
"I've worked abroad in two different countries and things have happened on occasions and I have looked and thought that was not quite right, never my own team, but maybe a referee's decision, or something an opposition manager did.
"But when you look at the extent of the allegations it is sad. It is not good.
"It is not just football, we had the thing with rugby a while back when they cheated with blood on the pitch which was disgraceful, and we've had drugs with cycling, Lance Armstrong is an absolute sporting legend and we find out what happened there, now there all these allegations.
"Professional sport is not in a good place, and people are looking at us as role models for kids."