Saudi Pro League
The clubs did not disclose any details but British media said Steven Gerrard's side paid a transfer fee of eight million pounds ($9.98 million), with Gray signing a four-year deal.
"The Atlantic lion is our goalie," Al-Hilal posted on messaging platform X, formerly known as Twitter.
Saudi Professional League (SPL) club Al-Hilal announced that Neymar had signed a contract until 2025, with the Brazilian saying, "I am here in Saudi Arabia, I am Hilali" in a video on the team's social media accounts.
The former Liverpool forward scored twice in the opening 10 minutes before another strike in the 72nd for his treble sealed the three points for the newly-promoted team.
The 38-year-old ended up with 14 goals in 16 matches, having played every minute of every league game barring a 1-1 draw with Al-Ettifaq last month, when he was taken off in the 84th minute, and Wednesday's final match.
"I am sure that in the coming years the league will be ... the fourth, fifth or sixth most competitive league in the world," added Ronaldo, who moved to Al-Nassr on a two-and-a-half-year contract worth a reported 200 million euros ($214.71 million).