Former manager says he is surprised Southampton faced so little opposition for Celtic defender.
Van Dijk signed for Southampton on transfer deadline day in the summer of 2015, and the centre-back has gone on to prove himself as one of the best defenders in England's top flight.
Southampton's Virgil van Dijk celebrates scoring their first goal
O'Leary told The Telegraph he believes Van Dijk is a better player than two who cost more than twice as much, Manchester City duo Eliaquim Mangala and Nicolas Otamendi.
He said: "Would I take them?’ [Eliaquim] Mangala and [Nicolas] Otamendi? No.
"John Stones I would have bought even if it is ridiculous money. [Eric] Bailly? Yes - and I was amazed there were not more takers for Virgil van Dijk."
Virgil van Dijk during his time at Celtic
Southampton took advantage of possible reluctant of English sides to gamble on a player who was playing in a supposed weak league, with Celtic easing to league titles without any real competition.
Yet the Saints knew from previous buys of Victor Wanyama and Fraser Forster that this was no reason to be down on one of Celtic's top players, and in future Premier League clubs may not make the same mistake.
Van Dijk was already a Dutch international at Celtic, and his reputation has soared over the past year.
Former Saints legend Matt Le Tissier this week told The Mirror that if Liverpool want to sign Van Dijk he believes the Reds could have to pay a fee in the region of £50 million.
Southampton's Virgil van Dijk in action with Swansea's Modou Barrow