The Senegalese goalkeeper has become the latest top flight star to seal a move to the Gulf state.
His former Chelsea teammates Kalidou Koulibaly and N'Golo Kante have also sealed moves to Saudi Arabia - Senegal teammate Koulibaly joining Al Hilal, while Kante is with Saudi Pro League champions Al Ittihad.
Mendy is also the Blues' second departure in as many days after Mateo Kovacic sealed his switch to Manchester City on Tuesday.
Chelsea paid tribute to the 31-year-old on their website for his impressive efforts in goal across three seasons.
"Having started his career in the lower tiers of French football - and even spending several months without a club - Mendy rose to the pinnacle of European football with Chelsea.
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"A hugely likeable character on and off the pitch, he will always have a place in our history for his significant contributions to our 2021 Champions League triumph."
Mendy also offered his thanks to fans and teammates, saying: "A special thanks goes to all my teammates for the unforgettable journey we shared together.
"I also want to extend my deep gratitude to all the fans for their unbelievable support throughout my time at Chelsea."
Mendy joined Chelsea in 2020 from Rennes and went on to enjoy a stellar debut campaign at the club.
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His performances in between the sticks were crucial to their Champions League triumph two years ago, conceding just three goals during their run.
The following campaign would see him continue his fine form for the Blues as he kept 23 clean sheets in 49 appearances in all competitions.
Mendy was also part of the Senegal side that won the African Cup of Nations in 2022, saving a penalty in the final shootout against Egypt.
He departs Chelsea with 105 appearances to his name, as well as Champions League, Super Cup and Club World Cup titles.
A new challenge awaits him in the Saudi Pro League, with Cristiano Ronaldo the first big name player to seal a move there this year.
Karim Benzema has also followed suit as some of Europe's finest players continue to attract interest from Saudi Arabia.