Shaqiri joined Lyon in August from Liverpool and made 16 appearances in all competitions for the club, scoring two goals and providing three assists.
The former Inter Milan and Bayern Munich winger has signed a contract at his new club through to 2024.
"We're extremely pleased to formally welcome Xherdan Shaqiri to the Fire," said Chicago sporting director Georg Heitz.
"Xherdan is a game-changing player and someone who will bring joy to our supporters and the city of Chicago. As one of the most accomplished Swiss athletes of his generation, Xherdan joins us at a very important time for the club and fully believes in what we are aiming to accomplish. We look forward to welcoming him and his family to Chicago very soon."
In a parting statement for Shaqiri, Lyon wrote: "Having arrived last summer from Liverpool, 30-year-old Xherdan Shaqiri wanted to join the Major League Soccer club, whose season will start at the end of February," the statement read.
"With the position of attacking midfielder already having several similar profiles, Olympique Lyonnais, in agreement with Peter Bosz, acceded to the request of Xherdan Shaqiri and concluded a very favorable financial transaction with the American franchise from Chicago, in an economic context which has remained difficult for the big clubs.
"Olympique Lyonnais wishes Xherdan Shaqiri every success in this new challenge in the United States."
Shaqiri, who has won the Champions League at Liverpool and Bayern Munich, has won 100 caps for Switzerland and is poised to play at his fourth FIFA World Cup later this year.
