The France striker and Ballon d'Or winner signed a three-season contract with the Saudi Pro League club on Tuesday for a total of $165 million, according to local media.
Tickets for Thursday's presentation of the former Real Madrid captain later at the 62,000-seat arena, known locally as 'The Shining Jewel', started from just nine riyals ($2.40).
A large number of supporters wearing the club's yellow and black colours greeted Benzema upon his arrival in the city on Wednesday night and he is expected to hold a press conference on Thursday before being presented to the fans.
Cristiano Ronaldo blazed the trail in the Saudi Pro League by signing a lucrative contract with Al-Nassr in December.
Saudi clubs are targeting other big names in the coming months with the likes of Sergio Busquets, Angel Di Maria, Jordi Alba and Sergio Ramos being linked with moves to the desert kingdom in local media.
A source close to Argentina captain Lionel Messi last month told Reuters that he had received a formal offer to join Al-Hilal but the World Cup winner decided to join Inter Miami in the United States instead.