Hazard spent four years at the Signal Iduna Park after joining from Borussia Monchengladbach in the summer of 2019.
The 30-year-old who is the brother of Chelsea great, Eden Hazard, has signed a three-year contract with Anderlecht, who have paid a transfer fee of £3.5m.
Hazard made 122 appearances in his four seasons at Dortmund, scoring 18 goals and providing 21 assists.
He spent the second half of last season on loan at PSV Eindhoven.
"We have had very open and honest discussions with Thorgan over the last few weeks. The opportunity for a short-term transfer has now presented itself," said BVB sporting director Sebastian Kehl.
"It was clear to us that we would not stand in his way. We would like to thank Thorgan for his four years at Borussia Dortmund and wish him and his family all the best for the future."
Hazard has won 47 caps for the Belgium national team.
