Eriksson, who has raised the fortunes of Chinese Super League sides Guangzhou R&F and Shanghai SIPG in his three seasons coaching in the country, parted ways with SIPG last month despite leading them to a third-place finish.
After being introduced as Shenzhen's skipper in a press conference in the southern Chinese city near Hong Kong, the Swede said he wasn't ready to leave China and the fast growth of football in the country.
"I’ve been in China for three and a half years and I feel that I still want to work with football in China," he told AFP, calling Shenzhen FC a "big club with big ambitions."
"Hopefully we will play good football and hopefully we will win a lot of football matches. That’s the target of course. Trying very, very hard to achieve the goal, and the goal is to go up to Super league."
Eriksson replaces former Dutch international Clarence Seedorf, who took over at Shenzhen in July but failed to win promotion to the Chinese Super League.
Shenzhen said it expected Eriksson's "rich coaching experience, advanced football philosophy, and intimate knowledge of Chinese football" to bring success.
Eriksson left Shanghai SIPG, one of China's biggest clubs, last month after two seasons in charge.
SIPG were CSL runners-up in Eriksson's first year at the club and reached the AFC Champions League for the first time.
The made the last eight of the 2016 Champions League competition but crashed out to the eventual champions from South Korea Jeonbuk Hyundai Motors, losing the second leg by an embarrassing 5-0.
Eriksson coached England from 2001-2006 and went on to leadManchester City and Leicester City.
Shenzhen FC thanked Seedorf for his contributions but otherwise gave no reason for his departure. The team have languished in China's second tier since being relegated in 2011.
As a player, Seedorf won domestic and continental titles in his native Netherlands, Spain, Italy and Brazil but his managerial career has been less distinguished and he was dismissed by Milan in 2014 after just four months in the job.
The CSL has a reputation for abrupt managerial turnaround.
SIPG said in November Eriksson was leaving following "friendly discussions" and it quickly replaced him with former Chelsea and Tottenham Hotspur manager Andre Villas-Boas.
Shanghai Shenhua last week named former Uruguay international Gustavo Poyet as their new coach after cutting ties with his Spanish predecessor Gregorio Manzano despite a fourth-place CSL finish that earned them an AFC Champions League spot.
