The 24-year-old attacking midfielder was unveiled by Montpellier on Friday afternoon after putting pen to paper on four-year-and-a-half year deal.
— MHSC (@MontpellierHSC) January 27, 2017
Dolly had already agreed personal terms and passed his medical, but he couldn't join the former Ligue 1 champions as Sundowns had not recieved a transfer fee of about R25-million.
The Westbury-born star leaves Sundowns after 18 months at the club. He won the PSL, Caf Champions League and Telkom Knockout Cup titles.
Greek side Olympiakos were also keen on Dolly, but they failed to trigger the player's buyout clause.
Dolly becomes the first South African player to play for Montpellier.