The Spaniard was pictured training for the Gunners at London Colney by his representative Jaume Munell, who shared the image on Instagram.
Moments later, the deal was officially announced by Arsenal.
The Gunners agreed a deal to sign Raya on loan from Brentford last week but fans grew anxious as days passed without confirmation.
However, any fears of a late collapse have now been put to bed - and the selfie also confirmed Raya's shirt number.
The 27-year-old was wearing a training kit with the number 22.
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Speaking in the official press release, technical director Edu said: "We welcome David to us on a season-long loan from Brentford.
"David is a top-quality goalkeeper, who has consistently performed to a high level with Brentford in the Premier League.
"With David joining us we are adding quality and depth to our squad so we can perform at the highest possible level in all competitions."