Odemwingie has become the Baggies' sixth summer signing after penning a two-year deal, plus a further year's option in the club's favour.
The 29-year-old passed an Albion medical and agreed personal terms last Friday and the two clubs finalised the transfer deal the next day.
Di Matteo told the WBA website: "I'm delighted to welcome Peter to the club.
"He is an exciting international, has a great CV and I'm sure seeing a player of his calibre coming into the club will give everyone a lift.
"Peter has got great pace, is two-footed, scores goals and has good experience at a very high level.
"We've brought him in as a striker but he can also play out wide, which gives me options.
"For example, when he was in France, he played very much up front on his own whereas for Nigeria he's played wide and sometimes in a central role.
"His last game was only last midweek for Nigeria and the Russian league is already underway so he should be in good shape for the challenge ahead."