The Portuguese giants confirmed on their website on Tuesday evening that the 34-year-old had signed a two-year deal.
Julio Cesar, who arrived at Loftus Road on a free transfer in August 2012, had been under contract for another two years with the Premier League newcomers.
A statement on QPR's official website earlier in the evening read: "QPR have agreed to release goalkeeper Julio Cesar, with the player set to sign for Portuguese side Benfica.
"The Brazilian, who was contracted until June 2016, has left Loftus Road by mutual consent with immediate effect."
- Sports & Recreation