The 24-year-old striker has signed a contract with the Seagulls until June 2022, having successfully passed a medical with the Premier League club.
According to BBC Sport, Brighton have paid around £14m for the Dutchman's services.
"We are delighted to have signed Jurgen, and pleased to welcome him to the club," Seagulls boss Chris Houghton told the club's website. "He is a player we have been aware of for sometime, and it's been no secret we have wanted to add a striker of his type.
"He is a strong, powerful and quick centre-forward, with a real eye for goal and will increase our attacking options in the second half of the season.
"Jurgen already has a prolific goal record with PSV in the Dutch top division, and it is one we hope he can continue here with us in the Premier League."
Locadia has scored 45 goals and registered 34 assists in 82 Eredivisie starts and 45 substitute appearances since rising through the ranks of PSV's youth system.