In an open letter, he said he loved Russia, calling it "a great democracy".
Mr Depardieu had recently announced he would give up his French passport after the government criticised his decision to move abroad to avoid higher taxes.
Moscow earlier said President Vladimir Putin had personally signed the decree granting the actor Russian citizenship.
In December, Mr Putin had said he would be happy to welcome the actor in his new country. "If he'd like to have a Russian passport, consider it settled," Mr Putin said.
Prime Minister Jean-Marc Ayrault had called Mr Depardieu's decision to leave the country "shabby".
In the letter, broadcast on Thursday on Russian TV station Pervyi Kanal, Mr Depardieu said: "I filed a passport application and I am pleased that it was accepted.
"I love your country, Russia - its people, its history, its writers. I love your culture, your intelligence."
He said that he had spoken to French President Francois Hollande and told him Russia was "a great democracy, and not a country where the prime minister calls one of its citizens shabby".
Under France's civil code, dual citizenship is permitted but it is unlawful to be stateless.
A person must obtain another nationality before giving up French citizenship.
Mr Depardieu's highly publicised tax row began last year after Mr Hollande said he would raise taxes to 75% for those earning more than 1m euros (Â£817,400).
The actor accused the new socialist government of punishing "success, creation and talent", and announced in early December that he would move to Belgium.
Although the Constitutional Council struck down the tax rise proposal on Sunday, Mr Depardieu said this did not change the situation "one bit".
The BBC's Hugh Schofield in Paris says the series of events would be amusingly eccentric, were it not also serious in its implications for France's international image.
Mr Depardieu, described by Mr Putin as a successful businessman and friend, has developed close ties with Russia, which has a flat 13% personal income tax rate.
He currently appears in an advertisement for Sovietsky Bank's credit card and is prominently featured on the bank's home page.
In 2011, he played the lead role in the film Rasputin, a Franco-Russian production about the life of eccentric monk Grigory Rasputin.
In addition, Mr Depardieu has also helped raise funds for a children's hospital in St Petersburg.
Actor Gerard Depardieu has hailed Russia's decision to grant him citizenship, following a tax row with the government in his native France.