Gueye, 36, initially signed for Everton from Aston Villa in the summer of 2016, before spending three years at Paris Saint-Germain and returning to the Merseyside club in 2022, where he played out the remainder of his contract.
Al-Diriyah, who play in Saudi Arabia's top flight, have signed the Senegal international on a one-year contract with the option of a further season, according to reports in the country.
The veteran midfielder scored two goals and provided three assists in 25 league appearances during his final season with Everton, and has earned more than 130 caps for Senegal over the course of his international career, featuring at this summer's World Cup.
He began his senior career at Lille before his move to Aston Villa, and won the Africa Cup of Nations with Senegal in 2021.
His move continues a busy period of recruitment for Al-Diriyah, who have also brought in Democratic Republic of Congo captain Chancel Mbemba and Bosnia and Herzegovina goalkeeper Nikola Vasilj as they prepare for their first season back in the Saudi top flight, with Gueye's arrival reportedly seeing the club beat domestic rivals Al-Ahli to his signature.
Everton, meanwhile, are among the clubs busy in the market themselves this week, having agreed a swap deal that will bring Brennan Johnson to Goodison Park from Crystal Palace in exchange for winger Dwight McNeil.