Pioli, 58, has signed a three-year deal.
The Italian tactician led Milan to the 2021-22 Serie A title and was subsequently named the best coach of the season.
He also guided the Rossoneri to the semifinals of the Champions League in the 2022-23 campaign.
Pioli has plenty of experience coaching in Italy, having managed Lazio, Internazionale and Fiorentina, but this will be his first time managing abroad.
Al Nassr, who drew 1-1 with Al Shorta in Baghdad in the revamped Asian Champions League on Monday, play at Al-Ettifaq in Friday’s Saudi Pro League game.
