The 27-year-old has completed his move to the Middle East for an undisclosed fee, believed to be worth in the region of £10m.
Gray has penned a four-year deal with Al Ettifaq until the summer for 2027 and will link up with Liverpool legend Steven Gerrard who is the Saudi club's new manager.
The Jamaica international's departure from Everton comes just a few days after he criticised manager Sean Dyche, writing on Instagram: "Everton fans have always been great with me but it's so difficult to play for someone who don't show you respect as a person."
In response, Dyche stated in an interview on evertontv that Gray "didn't want to train" and "didn't want to be here", insisting that he would only leave if the club received a suitable offer.
An agreement has now been reached between both Everton and Al Ettifaq, who have unveiled Gray as their latest signing on the final day of the Saudi Arabian transfer window.
Gray has taken to social media to bid farewell to Everton, writing on Instagram: "After two years with Everton, it's time to say goodbye.
"I wish everyone at the club the very best and will be forever proud to have played for this great team. To the fans, you were always incredible - thank you for your support. You made it a privilege to wear the shirt.
"There has been a lot of speculation about my situation all summer. The truth is, I gave my all to this club on and off the pitch through good and bad. I was ready to play as much football as possible this season but it felt like this was not going to happen.
"It's time for my next chapter. I am match fit and excited to get playing. Thank you."
Gray, who has not played for Everton this season, leaves Goodison Park after scoring 12 goals and providing six assists in 75 appearances across all competitions.
The winger was a first-team regular for Everton in 2022-23 as they narrowly avoided relegation from the Premier League on the final day of the season, although he only contributed with four goals and one assist in 33 top-flight appearances.
Gray, who has previously represented Birmingham City, Leicester City and Bayer Leverkusen, will now embark on a fresh challenge in Saudi Arabia with Al Ettifaq, who have also signed former Liverpool duo Jordan Henderson and Georginio Wijnaldum, as well as Moussa Dembele and Jack Hendry this summer.
Gray is expected to be in contention to make his Al Ettifaq debut after representing Jamaica in CONCACAF Nations League fixtures against Honduras and Haiti over the next six days.