Chelsea have not disclosed how much Al-Hilal have paid for the Senegal international.
Koulibaly joined Chelsea from Napoli for £34m last summer on a four-year deal and made 32 appearances across all competitions, scoring two goals.
Chelsea endured a disappointing campaign however, finishing 12th on the Premier League table.
In a statement, Chelsea said: "We would like to thank Kalidou for his contributions on and off the pitch during his time at Stamford Bridge and wish him well for the next stage of his career."
"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."
Koulibaly is the latest Premier League star to join Al-Hilal after Ruben Neves joined the same side in a £47m deal last week.
Koulibaly is not the only Chelsea player who will be moving to Saudi Arabia, with Hakim Ziyech and goalkeeper Edouard Mendy also closing in on moves to the Middle East.
N'golo Kante has already joined Al-Ittihad following the end of his contract.
Chelsea have also agreed deals with Arsenal and Manchester City for the transfers of Kai Havertz and Mateo Kovacic respectively.
