The 35-year-old was released by Inter Milan when his contract expired in July.
Sanchez, who played for Udinese between 2006 and 2011, has signed a two-year contract.
He scored 80 goals in 166 games for Arsenal after joining from Barcelona in 2014, but managed only five in 45 matches after moving to United in a swap deal in 2018.
Sanchez left for Inter on loan in 2019 and made the move permanent the following year.
After his Inter contract was terminated in 2022, he spent a season at Marseille before returning to Inter to help them win the Serie A title last season.
Udinese finished sixth from bottom.
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