The 20-year-old, who has agreed a long-term deal with the Gunners, was a free agent after his contract with the Ligue 2 outfit expired.
Sanogo is currently playing for France at the FIFA Under-20 World Cup in Turkey, scoring twice in the group stages to help his side through to the last 16, where they face the host nation.
Arsenal manager Wenger is pleased to have captured the services of Sanogo, who scored 11 goals in 24 appearances with Auxerre after joining the club as a 14-year-old.
Wenger said on arsenal.com: "Sanogo is a good young signing for us. He has shown that he has potential with his recent performances for Auxerre and also for the France Under-20 side.
"We are looking forward to Yaya joining us and continuing his promising development."
The Premier League club confirmed that the deal is subject to the completion of formal registration processes, with Sanogo set to join up with his new colleagues once his international commitments at the Under-20 World Cup are over .