The Irish performer, who was ordained 19 years ago by a Catholic group not affiliated with the Roman Catholic Church, posted on social media pictures of herself wearing the Islamic hijab head covering.
She wrote on Twitter: "This is to announce that I am proud to have become a Muslim. This is the natural conclusion of any intelligent theologian's journey.
"All scripture study leads to Islam. Which makes all other scriptures redundant. I will be given (another) new name. It will be Shuhada'."
O'Connor has experienced mental health issues in the past. The 51 year old dismissed reports in June 2016 that she had threatened to jump off a bridge, calling them "false and malicious gossip".
She revealed in December 2015 that she had been detained in hospital for a mental health evaluation.
A month earlier, she claimed to have had overdosed on pills in an Irish hotel room. She was later found safe and taken to hospital.
During a Saturday Night Live appearance in 1992, O'Connor tore up an image of Pope John Paul II.
Shaykh Dr Umar Al-Qadri, an Irish Muslim Peace and Integration Council imam who aided O'Connor in her conversion said: "Shuhada has a truthful soul and has always had a strong connection with the scriptures".
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