The 56-year-old is taking charge at the Molineux Stadium after leaving Al-Shabab.
He is bringing several members of his backroom team to the Premier League club.
He went onto social media on Wednesday night to post a farewell message to Al-Shabab fans.
He wrote: “The time has come to say goodbye to Al Shabab, every day here has been a lesson. Every challenge, an opportunity to grow. Even though the passage was short, we achieved important goals and milestones, overcame obstacles and created memories that will never fade.
“On behalf of myself and my coaching staff, I sincerely thank the players, the staff, the managers and the fans, who have always supported us unconditionally. I take with me the pride of having been part of this club and the certainty that I gave everything, every day!
“Special thanks to the president for the friendship, respect and gratitude he has always shown us throughout this journey.
“This is not only a farewell, but also a reflection on the importance of each step on our path. Now, it’s time to look to the future, always with gratitude for what the past has given me. Thank you Al Shabab! I WISH the club much success for the rest of the season!”