The 22-year-old becomes PSG's fourth signing of the close season.
"It's incredible to be able to join Paris Saint-Germain, it's one of the biggest clubs in the world, with some of the greatest players in the world," said Lee in a statement.
"I can't wait to start this new adventure."
Lee made his first-team breakthrough at Valencia as a winger after coming through the club's academy, but can also play more centrally.
He scored six goals in 39 matches for Mallorca last season and has made 14 international appearances, including featuring in all four of South Korea's matches at last year's World Cup.
Lee follows Marco Asensio, Milan Skriniar and Manuel Ugarte in joining PSG this summer.
The capital club have also replaced Christophe Galtier as coach with former Barcelona and Spain boss Luis Enrique.
