Local media reported that Lille paid €2m to secure the services of the 24-year-old, who has been capped 35 times at the international level.
"I think it's the right choice for me now to come here. I'm very happy to call myself a Lille player," Kjaer told the club's official website.
"Everyone knows about Ligue 1 with Paris Saint-Germain and Monaco now and I find the league a very interesting one. I can't wait to get started." Kjaer joined Wolfsburg from Palermo in 2010, spending the 2011/12 season on loan at Roma, and is expected to replace Cameroonian Aurelien Chedjou, who left Lille for Turkish club Galatasaray.