Exhibit 23

CONSENT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

We hereby consent to the incorporation by reference in the Registration Statements on Form S-8 (File Nos. 33-28609; 33-45453; 33-61441; 333-08721; 333-61163; 333-66891; 333-86863; 333-86869; 333-72904; 333-104955; 333-118761; 333-126788; 333-146646 and 333-162635) and on Form S-3 (File Nos. 333-34674; 333-68922; 333-91888 and 333-150538) of Legg Mason, Inc. of our report dated May 25, 2012 relating to the consolidated financial statements and the effectiveness of internal control over financial reporting, which appears in this Form 10-K.

/s/ PricewaterhouseCooopers LLP

Baltimore, Maryland

May 25, 2012