"I'm very glad that I'm here. It's a fantastic club with a great history and a good team," the 25-year-old forward told the club's website.
Chelsea manager Jose Mourinho said: "I like Kezman because he is a team player. He has the motivation to come to the top league in the world and that, along with his scoring record, makes him a good player for me."
The former FK Loznica, Sartid 1913 Smederevo and Partizan Belgrade forward scored 105 goals in 122 games over four seasons at PSV.
In the 2002-03 season, Kezman scored 35 goals in 33 games which was the highest total in Holland since Marco van Basten's 37 for Ajax in 1987.