McKain, 27, has been with Phoenix since 2008, having come to Wellington from Romanian Liga 1 club Politehnica Timisoara.
Capped 12 times for Australia, McKain has been a standout performer for Phoenix in his two A-League seasons and was a key player in the club’s stellar 2009/2010 campaign, with the club going within one match of the grand final.
The deal between Phoenix and Al-Nassr, which is based in Saudi capital Riyadh, was brokered by McKain’s business adviser Tony Rallis.
Phoenix chairman and owner Terry Serepisos said it was sad to see McKain leave the club.
'He’s been a fantastic member of the team and has made valuable contributions on and off the field," Serepisos said.
"However, as a club we take pride in playing a key role in player development. Joining a major Saudi Arabian club is a massive opportunity for Jon professionally and the club recognises and fully endorses his desire to further his career.
'If anything, this is proof that Phoenix plays a pivotal role in player development and that the club provides a pathway for players to aspire to the world’s top competitions."