The 28-year-old goalkeeper arrives at Molineux for a fee of £6.8million following Rui Patricio's £9.8million sale to Roma.
Agent Jorge Mendes, who acts as an advisor to Wolves, has been extensively involved in the negotiations as he represents both players and the managers at Wolves, Roma and Olympiacos – Bruno Lage, Jose Mourinho and Pedro Martins.
Wolves technical director Scott Sellars said: “Jose is somebody who is very much coming into his peak years as a goalkeeper and has always been high up on our target list.
“He’s aggressive when coming for crosses, he commands his penalty area, has excellent distribution and he’s a very pro-active goalkeeper, and will be an important part in how we want to play under Bruno.
“He’s also gained so much experience throughout his career, especially over the last few years while playing in Greece, appearing for Olympiacos in the Champions League and in the Europa League, where he played against us not so long ago.
“He’s played for Portugal, he’s won several league titles and we certainly feel he’s a keeper who is ready for that next step into the Premier League.”
Sa has become Lage's fourth signing of the summer following the captures of Yerson Mosquera, Francisco Trincao and Rayan Ait-Nouri.
Hungary defender Bendeguz Bolla has also been agreed, but is yet to be announced. He is expected to be loaned straight out to Swiss club Grasshoppers.