Icardi swapped Serie A side Inter for PSG on an initial season-long loan on Monday's transfer deadline day.
Stripped of the Inter captaincy last season and frozen out by new head coach Antonio Conte this term, Icardi signed a one-year contract extension, tying him to the Nerazzuri until 2022, before moving to PSG on before the window closed.
Reflecting on his switch to PSG - who reportedly have the option to buy the striker for €70 million ($76.5m) - Icardi told PSG TV: "I'm very happy, delighted.
"It's a major step in my career, and a great opportunity to join a top club like Paris Saint-Germain. I hope to live great things here.
"Being able to play alongside these very talented players is amazing. The decision was easy to make, I've come to Paris because I wanted to play with them.
"I know the Argentines obviously, and I know [Edinson] Cavani. And I have met Neymar Jr. I am proud to become their team-mate.
"I am a striker, I like to score goals. It's going to be great to play up front with the amazing attacking players that are in this squad.
"It's always special to play against rivals. This is what makes football so great. I have played against Juve, Milan, these are major games. I am looking forward to playing these games in France now.
"I never played at the Parc des Princes, it will be a first for me. I will be able to tell you what it's like then!"
Icardi, who arrived at Inter from Sampdoria in 2013, scored 111 Serie A goals and 124 goals in all competitions to be eighth on the club's all-time list.
He will be aiming to help PSG win their fourth consecutive Ligue 1 championship, with the Parisians currently clear on top of the table by goal difference.
Following the international break, Icardi could be in line to make his debut in the league match against Strasbourg on September 14.