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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.

Gary Boyce uncovered the 8th Century cemetery six months ago in Great Ryburgh, Norfolk.
He had been carrying out work to build a fishing lake.
Mr Boyce has been given a £90,000 grant from England Heritage, but feels there should be more support for landowners who find themselves in his position.
Landowners are responsible for the initial exploration costs of excavations found on their property, and the cost rises if human remains are discovered and have to be excavated.
Mr Boyce told BBC Inside Out: "History has been changed (by the discovery) but you've seriously got to weigh up the costs. To nearly lose your house, that's massive."
Will Fletcher, inspector of ancient monuments for Norfolk, Suffolk and Bedfordshire for Historic England, said: "We tried to operate as quickly as we could and provide some support to Gary because obviously he was in a very difficult position."
Tim Pestell, the curator of Archaeology at Norwich Castle, said it was an unusual discovery.
"Because the site was so unique, it is nationally significant. Great Ryburgh will go down in the academic textbooks as an example of an early Christian community," he said.
"The landowner got unlucky because it was so wonderful, it wasn't expected. That's why Historic England has put thousands of pounds into rescuing that site."
It is hoped that some of the artefacts will eventually go on display at Norwich Castle along with one of the coffins, after it has been sent to York for conservation.
See the full story on Inside Out BBC ONE East Monday 19:30 GMT.
Chelsea have signed Belgium striker Michy Batshuayi from Marseille on a five-year contract.
[NEXT_CONCEPT]
A developer says he has had to remortgage his house to pay the £250,000 excavation costs after finding 81 Anglo-Saxon coffins on his land.