Jesus has signed for Al Nassr for one year and will once again be in charge of a Saudi team, having coached Al Hilal last season.
The veteran coach succeeds Stefano Pioli at the club where Portuguese international Cristiano Ronaldo plays.
Jesus will earn a salary of around 12 million euros (£10.5m) in one year.
Still in Lisbon at the time of the official announcement, Jesus spoke to journalists at Humberto Delgado Airport and asserted that Ronaldo played a crucial role in the deal.
"Without his invitation, I certainly wouldn't be there," he said.
"The motivation will be great. I'm going to try to ensure that Al Nassr, one of the best clubs in Saudi Arabia, can win titles.
"Cristiano Ronaldo is a player who has always won everything he's played for. He hasn't won in Saudi Arabia yet. I'll see if I can help him," added the Portuguese coach, guaranteeing that it'll be easy to deal with Ronaldo.
"We speak the same language, everything is easy."