The Scotland striker joins Las Palmas in a free transfer from Sheffield United.
McBurnie said, "I am excited to be at UD Las Palmas. It is a big change for me, a big challenge, but I am very excited.
"The teammates were very friendly and welcoming. A couple of players are already helping me with my Spanish, which I need to improve ."
McBurnie acknowledged that he studied Las Palmas well before accepting the offer: "I spoke with my agent and we watched a lot of games. I like the place and the way Las Palmas plays football. I think it is a good destination for me, I can help also. Las Palmas is definitely a big challenge.
"Coming to Spain will be good for me and I hope I can do it well. Everyone also tells me how beautiful Gran Canaria is. The climate is very similar to Sheffield, apparently. I look forward to meeting the fans and playing for this great club."