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The 22-year-old is new manager Antonio Conte's first signing at Stamford Bridge.
The fee was not disclosed by Chelsea but is believed to be £33m (40m euros).
The forward, who scored 23 goals for Marseille last season, scored in Belgium's last-16 win over Hungary at Euro 2016 and also came on in their quarter-final exit to Wales.
"I am delighted to sign for one of the biggest clubs in Europe," said Batshuayi.
"[My Belgium team-mates] Eden Hazard and Thibaut Courtois have told me many good things about the club, and with Antonio Conte coming in, it's an exciting time to become a Chelsea player."
Batshuayi signed for Marseille from Standard Liege in 2014 and made his international debut in March 2015 in a 5-0 Euro 2016 qualifying win against Cyprus.
Against Hungary, he scored with his first touch after coming on as a substitute, converting a cross from his new club team-mate Eden Hazard.
Chelsea have signed Belgium striker Michy Batshuayi from Marseille on a five-year contract.