"Firstly, I would like to say, never did I intend, nor did I imagine, my time at Aston Villa would end this way," the 30-year-old wrote on social media, days after making himself unavailable for the club's Premier League opener against Brighton - an absence Unai Emery later said Watkins had apologised for.
Aston Villa's record Premier League scorer, with 91 goals, joins the Saudi Pro League club on a three-year deal.
Watkins used the statement to reflect on a spell that transformed both his career and Villa's fortunes, helping establish the club as regular top-six contenders and deliver a first European trophy in 44 years.
"With that being said, I am eternally grateful for the last six years. Not only has it shaped me as a player, but as a person. We've been through so many ups and downs in my six seasons here, but one thing that has never changed is that I have given everything for this club," he wrote.
"From my first goals in the 7-2 win over Liverpool to getting the club back into Europe, the Champions League nights at Villa Park to that unforgettable night in Istanbul and becoming Villa's record Premier League goalscorer. It is an achievement that I never thought would be possible when I signed for the club."
He singled out three managers for particular thanks - Dean Smith, Steven Gerrard and Emery - "for always believing in me" - before turning to his family, both of his children having been born in Birmingham during his time at the club.
"To see them walk on to the pitch and see you fans sing my name in front of them and my family is something that will always stay with me forever," he added. "Birmingham will always be home, and so will Villa."
Watkins becomes the latest in a long line of Villa departures this summer, following Morgan Rogers, Ezri Konsa, Youri Tielemans, Lucas Digne and Emiliano Martínez out of the door, with Emery himself admitting to "small tears" as he said goodbye to a player he called "fantastic."
At Al-Hilal, Watkins joins fellow Premier League departee Crysencio Summerville, who arrived following West Ham's relegation, with Arsenal's Gabriel Martinelli also set to travel for a medical with the Saudi club on Tuesday.