Pereira has agreed a one-and-a-half year deal to take over at Molineux and an official announcement is expected in the coming hours.
The 56-year-old will be joined by several members of his backroom team after Wolves and Al-Shabab, of the Saudi Pro League, agreed a compensation package of around £800,000.
Pereira will start work immediately with Wolves, who sit 19th in the Premier League table, facing a crucial match at fellow strugglers Leicester on Sunday.
The Portuguese boss took to social media on Wednesday night to post a farewell message to Al-Shabab. Pereira, who has also managed Porto, Olympiacos and Shanghai SIPG in a nomadic managerial career, took charge in February and leaves the club sitting sixth in the Pro League.
He wrote: “The time has come to say goodbye to Al Shabab, every day here has been a lesson. Every challenge, an opportunity to grow. Even though the passage was short, we achieved important goals and milestones, overcame obstacles and created memories that will never fade.
“On behalf of myself and my coaching staff, I sincerely thank the players, the staff, the managers and the fans, who have always supported us unconditionally. I take with me the pride of having been part of this club and the certainty that I gave everything, every day!
“Special thanks to the president for the friendship, respect and gratitude he has always shown us throughout this journey.
“This is not only a farewell, but also a reflection on the importance of each step on our path. Now, it’s time to look to the future, always with gratitude for what the past has given me. Thank you Al Shabab! I WISH the club much success for the rest of the season!”