The Mamelodi Sundowns striker will join cross-town rivals with effect from July 1 this year.
Four clubs were interested in the 29-year-old's signature, including Pirates, Golden Arrows and Bloemfontein Celtic.
Khenyeza was known to be unhappy with a lack of game-time at Sundowns.
"In line with the NSL Rules, we have notified Mamelodi Sundowns FC that the player has concluded an agreement with our club commencing 1 July 2012 and the agreement has been lodged with the league," SuperSport United's chief operations officer Jose Ferreira tells SuperSport.
"We are delighted to have acquired the services of a player with the quality of Mabhuti and I am confident he will bring much valued quality to our team."