Gustavo, who had started his Bundesliga career at Hoffenheim in 2007, was part of Bayern Munich's treble-winning season that included the Champions League in 2013.
He then joined the Wolves, which won the German Cup again in 2015 while also finishing runners-up in the Bundesliga. His current move cost a reported 10 million euros (£8.8 million).
"Even if saying goodbye is hard, during the summer break my wish to try something new in a different country and a different league matured," the Brazilian said.
Marseille, fifth in the French league last season, did not give details on the length of his contract.
(Reporting by Karolos Grohmann)
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