He joins 13 other contenders in the crowded race.
Mr O'Leary, who appears on the reality show Shark Tank in the US and Dragon's Den in Canada, has been seriously exploring a bid since December.
He has drawn comparisons to Donald Trump for both his TV and business background and his boastful tendencies.
Former Conservative prime minister Stephen Harper stepped down as party leader in November 2015 after losing the federal election to the Trudeau Liberals.
Conservatives pick their new leader on 27 May.
Mr O'Leary, a Montreal-born investor and entrepreneur, is pitching himself as the business-minded, fiscally conservative candidate in the packed field of hopefuls.
"I am a successful Canadian businessman with a great deal of international experience," Mr O'Leary said in a media statement. "I am the only candidate who can beat Justin Trudeau."
He is also positioning himself as the only contender who can stand up to US President-elect Donald Trump on cross-border issues like trade.
While he has repeatedly praised Mr Trump and his tactics in interviews, Mr O'Leary has avoided the anti-immigrant rhetoric used by the American real estate magnate during the campaign and has said he does not support many of his policies.
Mr O'Leary, born to Lebanese and Irish immigrants, has also criticised a proposal by fellow Conservative leadership contender Kellie Leitch to screen all immigrants for "Canadian values" as "un-Canadian".
Still, there are inescapable similarities between the two celebrity businessmen.
Mr O'Leary is a self-promoting political outsider with no experience in elected office. He can be pointed on Twitter and has taken to referring to Canadian Prime Minister Justin Trudeau as a "surfer dude" on the social platform.
The Shark Tank cast member is known to float unconventional ideas, including a recent proposal to let people buy seats in the Senate, the un-elected upper house of Parliament.
He has been publicly toying with the idea of running to lead the Conservative party for months.
Other candidates have been taking shots at him on the campaign trail, including Lisa Raitt, a veteran politician who launched a "Stop Kevin O'Leary" website earlier this month and has targeted him for his "irresponsible populism".
He has also been criticised for not speaking French, one of Canada's official languages.
Bilingualism is convention among the country's political leaders. Over seven millions Canadians, mostly in the province of Quebec, speak French as their mother-tongue.
The Canadian mogul made his run official the day after the French-language only leadership debate in Quebec City.
Rona Ambrose, a former Cabinet minister, is serving as interim Conservative leader until the party election in May.
Canadian businessman and reality TV star Kevin O'Leary is running for the leadership of the federal Conservative party.