Musa, 25, was the Foxes’ record signing when he moved to the King Power for £16.6million in 2016, but failed to hold down a place and was loaned back to his old club CSKA Moscow for part of last season.
The Nigeria international found the net six times in 10 appearances at the Russian club, three times as many as he managed in his 21 Premier League appearances.
He scored twice at the World Cup, with both goals coming against Iceland in the Group D clash.
Al-Nassr said he had signed a four-year contract but did not disclose the transfer fee. The announcement was also accompanied by a bizarre video, that did not even feature their new signing — only highlights of his playing career to date.
The clip consisted of a flight taking off from London directly to Al-Nassr, with an unidentified man making his way through security.
On board, highlights of the striker playing for Leicester, Nigeria and CSKA Moscow could be seen out of the cabin windows, including on of his World Cup strikes, and his International Champions Cup goal for the Foxes against Barcelona.
Rather than the video ending in the more traditional fashion, an image of the new signing in a shirt, or perhaps even just a scarf, the short feature ends with the plan flying perilously close to the main stand at the King Fahd Stadium in Riyadh, the plane only just clearing it as the captain announced their arrival.
Al-Nassr finished third in the Saudi-Arabian professional league last season, qualifying for the Asian Champions League play-offs in the process.
