"I always played for big teams, now I'm in Al-Ahli," Firmino said in a video on Al-Ahli's Twitter account.
He will team up with goalkeeper Edouard Mendy, who also left the Premier League after three seasons with Chelsea.
Al-Ahli returned to the Saudi Pro League after spending the 2022/2023 campaign in the second division but the team is still without a coach following the departure of South African Pitso Mosimane.
Firmino joined Liverpool in 2015 and helped the team win the Champions League, FA Cup and Premier League titles.
The Brazil international bade farewell to Anfield in late May, scoring his 111th goal for the club during their last game of the season.
Firmino joins a long list of high-profile players who have moved to the Saudi Pro league in recent weeks, with the likes of Ballon d'Or winner Karim Benzema, N'Golo Kante and Ruben Neves following in the footsteps of Cristiano Ronaldo, who moved to Al-Nassr in January.
Last month, the Saudi Public Investment Fund (PIF) announced a Sports Clubs Investment and Privatisation Project involving league champions Al-Ittihad, Al-Ahli, Al-Nassr and Al-Hilal.
PIF owns 75% of each of the four clubs, while their respective non-profit foundations own 25% of each.
