The 22-year-old French Under-21 international passed a medical on Wednesday and committed to the club until 2020 on a deal which French media reported to be worth £12m.
As part of the deal his compatriot Remy Cabella heads the other way on a season-long loan after an unsuccessful spell for the French international in England following his £7m move last year.
The 25-year-old from Corsica believes his experience in the Premier league has allowed him "to grow up and progress".
"I'm going to show what I have learned," added Cabella with Marseille having the option to buy him next summer as he arrives on a deal estimated at nine million euro.
"I am delighted to be a Newcastle United player," said Thauvin on Newcastle's website.
"I have come from France to a really big club and am very happy to be here," added Thauvin, who failed to fire last season scoring five goals in 36 appearances for Marseille.
The deal was finalised several hours after the arrival of Marseille's new Spanish coach Michel who replaces maverick Argentinian Marcelo Bielsa.
Marseille have endured a difficult start to the new season, losing their opening two matches 1-0.
Bielsa resigned immediately after the defeat to Caen on the opening weekend of the season, with his assistant Franck Passi taking charge for the loss at Reims last Sunday.