The 24-year-old centre-back has signed a four-year deal with Les Dogues, ending what has been a frustrating stint in the Bundesliga.
"They have a great stadium and the best training ground I have ever seen," Kjaer posted on Twitter.
"I have had a few days in Lille before finally signing. I'm so impressed by a well-organized club and my boss Rene Girard.
"Lille was the first club I visited to train with as a teenager - even before Real Madrid. My first love."
Kjaer joined Wolfsburg from Palermo in 2010.