The club said Belozoglu reached an agreement on a one-year deal with the Istanbul side.
"It is the dream of every player to wear the shirt of his favorite team and say goodbye to football with the team's jersey. I am very happy and proud of this," Belozoglu said in a news conference.
"We want Fenerbahce fans to believe in and trust us. We need your support," he added.
Belozoglu scored 79 goals and 85 assists in 720 club appearances, winning the Turkish Super Lig on six occasions -- four times with Galatasaray (1997-2000) and twice with Fenerbahce in 2011 and 2014.
The 40-year-old also claimed the UEFA Cup with Galatasaray in 2000.
A former Inter Milan midfielder, Belozoglu hanged up his boots in August when he was a captain for Fenerbahce.