No financial details were given by PSG but the deal was reportedly worth €10 million ($10.8 million).
The Saudi club are managed by Liverpool legend Steven Gerrard. Henderson and Wijnaldum were midfield colleagues at Anfield between 2016 and 2021, helping Liverpool win the Champions League in 2018-19 and the English Premier League the following season.
The 32-year-old Wijnaldum joined PSG from Liverpool two years ago but lost form and was loaned to Roma in Serie A last season.
He broke his leg in training in August 2022, which limited him to 23 games with the Italian side in all competitions, and then returned to Paris.
Wijnaldum becomes the latest player to join the European exodus toward the cash-rich Saudi Pro League.
Al Ettifaq beat Damac 3-1 at home on Saturday to move to fifth in the Saudi Pro League standings, with 10 points from five games.
Information from the Associated Press and Reuters was used in this report.