Musa who has struggled to replicate his blistering form in England completed the move from the Premier League outfit on a four-year deal.
Al Nassr were favourites linked with a deal for the 25-year-old whose performance at the 2018 FIFA World Cup meant he will not stay on the bench at the King Power Stadium.
Al Nassr announced the deal for Musa through a video clip posted on their official Twitter handle.
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Musa who became Nigeria's all time goal scorer at the FIFA World Cup in Russia, joined the Foxes in 2016 for a reported fee of £16 million and contributed four goals in a total of 33 apperances.
He was signed under Claudio Ranieri but was unable to displace fan favourite Jamie Vardy as the preferred option to lead the attack.
Musa was shipped out on loan to during the winter transfer window where he returned to good form ahead of the World Cup.
The forward will now aim to replicate his World Cup heroics for Al Nassr and spur the team to bring the Saudi Professional League to the King Fahd Stadium after a third place finish last season.
Musa is expected to make his debut for Al Nassr when they begin their league campaign against Ohod on Thursday, August 30.