The move will bring to an end Henderson's 12-year association with Liverpool, having joined from Sunderland for £20m in the summer of 2011.
He still had two years to run on his contract at Anfield but has chosen to join a side now managed by his former Liverpool and England teammate Steven Gerrard.
Henderson will cost Ettifaq £12m in transfer fees and the 33-year-old will earn a whooping £700,000 per week in Saudi Arabia.
Henderson made 492 appearances in total for Liverpool, scoring 33 goals and assisting 57 times.
The England international won two League Cups, the Champions League, FA Cup, FIFA Club World Cup, UEFA Super Cup and Premier League during his time at Liverpool.
In a lengthy post on social media, Henderson confirmed his time at Liverpool is up.
'I am not sure I have any words to sum up how I am feeling right now. I am in the dressing room for the last time so as you can imagine it's very emotional,' he said.
'But I need to somehow explain what these last 12 years have felt for me and my family. I can still remember that June night back in 2011 clearly, being dead excited but then becoming even more nervous when the move from Sunderland became a reality.
'It was hard leaving there, I have to be honest. My home town, my club, but when Liverpool come knocking - you don't say no.
'Driving in through those old Melwood gates, meeting Damien [Comolli], the spinning feeling in my stomach, feeling a little shy meeting Sir Kenny [Dalglish], it all seems like yesterday.
'When I see the footage back now, I'm just a kid. Who would have ever imagined that night how the next 12 years would go.
'I can't lie. There has been hard times, really hard times, but when I look back at my career at Liverpool, it will always be the good times that I remember - and those good times, again, where do I start?
'Being made captain of Liverpool Football Club was one of the greatest honours of my life. From the day the armband was passed to me, I did everything I could to behave like a Liverpool captain should. But the biggest honours at Liverpool weren't personal ones, they were collective.
'All of us, all of you, together. Starting in Madrid with number six, the most perfect night and probably my favourite night actually. You've seen it I'm sure, but with the emotion, it was impossible not to be emotional. But then when we came home, there were no words for that experience. You were everywhere, literally everywhere; in the trees, on roofs, on cars, up lamp posts and even on scaffolding.
'From the bottom of my heart, thank you for giving us that welcome, not just once, but to do it again even after we lost the Champions League final last year says everything about the club and its supporters - the best in the world, there can be no doubt, there is no doubt.
'And then bringing number 19 home. We knew as players what ending that wait meant to you. We knew how important it was to make Liverpool champions again.
'And that leads me onto Anfield. The most special place in the world to play football, how can anyone think it isn't? I am sad I won't have the chance to play at a bigger Anfield, but I know what impact it will have on the opponents.
'I guess the thing I want to say most of all, is just simply, thank you. Thank you for allowing me to be part of your club. Thank you for your support in good times and bad. Thank you for all the sacrifices and commitments you made and will continue to make to follow us all over the world.
'Just know that I will always be a red until the day I die. Thank you for everything. You will never walk alone. Jordan.'
