"We'll continue to make history together," Al Hilal said on Twitter, alongside a short video featuring Koulibaly.
The four-time Asian Champions League winners said Koulibaly's contract would run until 2026 without giving any financial details. British media reported that the Saudi club would pay around £17 million ($21.61m) for the centre-back.
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"I'm here with those who make the glory in the present and the future," the Africa Cup of Nations winner said.
Koulibaly, 32, scored two goals in 32 appearances in all competitions for Chelsea after joining them from Napoli last July.
Al Hilal are the most decorated club in Saudi Arabia and Asia, having won 66 trophies, and they hold the record for league and Asian Champions titles with 18 and four, respectively.
Boosting their squad is a priority for the Riyadh-based club; they have lost their league and Asian Champions crowns.