The 20-year old France youth international striker on a long-term contract for an undisclosed fee, delighting manager Arsene Wenger.
"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 U20 side," he said.
"We are looking forward to Yaya joining us and continuing his promising development."
Arsenal's official website read: "The deal is subject to the completion of formal registration processes, with Sanogo joining up with his new team-mates after his participation in the U20 World Cup.
"Everyone at Arsenal looks forward to welcoming Yaya to the club."