Mahlambi left the country on Wednesday to complete the deal believed to be in the region of R17 million.
He becomes the first South African footballer to ply his trade in Egypt having penned a four-year deal with the Red Devils.
Al Ahly unveiled Mahlambi on Thursday, just a few hours before the closing of the Egyptian transfer window for foreign internationals.
The Clever Boys also confirmed the deal on their social media platforms on Thursday night.
Bidvest Wits confirms the permanent transfer of P. Mahlambi to CAF African Club of the Century, Al Ahly SC. Good luck and do us proud. — Bidvest Wits (@BidvestWits) September 7, 2017
Mahlambi recently returned from Portugal where he underwent unsuccessful trials at Bongani Zungu's former club, Vitoria Guimaraes.
He will be hoping to use Al Ahly as a stepping stone to realize his dream of playing in Europe in the next few years.