The 19-year-old cost Chelsea €30m and has signed a seven-and-a-half-year contract at Stamford Bridge.
Gusto will remain at Lyon on loan for the remainder of the season before moving to England in the summer.
A statement on Chelsea's official website read: "Malo Gusto has completed a permanent move to Chelsea from Lyon."
"The exciting 19-year-old right-back has signed a contract at Stamford Bridge to summer 2030 and heads back to France for the remainder of the current campaign to continue with Lyon in Ligue 1, where he has made 15 league appearances.
"Gusto, who has been capped at Under-21 level by France, progressed through the youth ranks at Lyon and made his senior debut in January 2021.
"The defender will now continue his impressive progress on loan at the Groupama Stadium before joining up with the Blues in the summer ahead of the new campaign.
"Chelsea would like to thank Lyon for enabling Malo to take up this new opportunity.
"Welcome to Stamford Bridge, Malo!"
Gusto is Chelsea's seventh signing in the January transfer window after Benoit Badiashile, David Datro Fofana, Andrey Santos, Mykhailo Mudryk, Noni Madueke and Joao Felix.
