The 27-year-old has long been linked to the Women's Super League (WSL) champions who added the Women's Community Shield to their trophy haul this season on Saturday.
"I'm excited to just play for such a big club, to play with so many amazing players and to also be playing in the league [Women's Super League]. The English league, it's so exciting at the moment and I'm really looking forward to it," Harder said of the move.
Manager Emma Hayes was full of praise for the club's new signing, adding: "Pernille is one of the best players in the world. Her record at Wolfsburg and Linkopings, as well as internationally with Denmark, shows how valuable she has been to her teams.
"She is a fantastic team player who wants to take her game to the next level. She chose Chelsea as the club that can push her to that level. She can play for any team in the world, but she chose us."
Her contract with the German club wasn't due to expire until summer 2021 but Chelsea have secured her services for the upcoming season which starts on Sept. 9 when the Blues travel to Manchester United.
Harder's partner Magdalena Eriksson, 26, captains Chelsea and the move marks the first time the two have played together since meeting at Linkopings FC.
The forward has described the WSL as "the place to be" this season.
"I wouldn't want to be anywhere else," she added.
The addition of Harder makes Chelsea a formidable attacking side with the club already well stocked with Beth England, Fran Kirby, Sam Kerr, Erin Cuthbert, Guro Reiten and Ji So-yun all competing for spots in the starting XI.