Koulibaly signed for Chelsea from Napoli last July on a four-year deal.
He arrived at Stamford Bridge with European and international experience, after helping Napoli win the Italian Cup in 2020 and Senegal claim the Africa Cup of Nations in 2022.
But he played just 32 games for the club in all competitions, scoring two goals in 23 Premier League appearances.
"From my first game to my last, it was an honour to wear this badge," Koulibaly said on Twitter.
"Last season wasn't the one we wanted, but I want to thank the fans and everyone at the club for your support."
Chelsea did not disclose how much Al-Hilal have paid for Koulibaly - but reports suggest it could be as much as £20m.
Koulibaly's arrival in Saudi Arabia follows a recent trend from European clubs that started with Cristiano Ronaldo's switch from Manchester United to Al-Nassr in January.
We need your consent to load the translations
We use a third-party service to translate the website content that may collect data about your activity. Please review the details in the privacy policy and accept the service to view the translations.