The Saudi team confirmed the appointment of the 70-year-old on Monday evening. Before leaving Lisbon, the Portuguese coach said he was heading to a country where he is "always happy."
This marks Jesus’ third stint in Saudi Arabia, having previously managed Al-Hilal on two occasions.
"Without Cristiano Ronaldo, I certainly wouldn't be there,” he said.
"The motivation is high. Al Nassr needs to win titles, just like Cristiano Ronaldo, who has always won everything at the clubs he's played for.
“He hasn't won practically anything at this one yet, so I'll see if I can help him. We speak the same language, so it will be easy. We're Portuguese."
