"The Lion of Teranga protects our goal," Al Ahli said in a Twitter post.
Mendy joined Premier League Chelsea from Rennes in 2020 and the 31-year-old played a pivotal role as the London club won their second Champions League title with a 1-0 win over Manchester City in the final in 2021.
Following the departure of Chelsea's German manager Thomas Tuchel, Mendy fell behind Kepa Arrizabalaga (28) in the pecking order under coaches Graham Potter and then Frank Lampard.
The Saudi Pro league has become an attractive destination for Europe-based players since Cristiano Ronaldo (38) moved to Al-Nassr last January.
League Champions Al-Ittihad signed Ballon d'Or winner Karim Benzema (35) earlier this month, while the club also confirmed former Chelsea midfielder N'Golo Kante's (32) move last week.
Mendy became the third Chelsea player to move to Saudi Arabia after Kante and compatriot Kalidou Koulibaly (32) joined Al-Hilal.
Earlier this month, the Saudi Public Investment Fund (PIF) announced a Sports Clubs Investment and Privatization Project involving the league champions Al-Ittihad, Al-Ahli, Al-Nassr and Al-Hilal.
PIF own 75% of each of the four clubs, while their respective non-profit foundations own 25% of each.