The 23-year-old joins the Magpies on an initial season-long loan - believed to be for a fee of £1.6 million.
Reports also suggest the club can sign the Argentine on a permanent deal for a further £6.4m should he impress Alan Pardew and co.
Ferreyra left Shakhtar because of the current political unrest in Ukraine and admits Newcastle centre-back Fabricio Coloccini persuaded him to come to Tyneside.
"I am very pleased to sign for Newcastle United," Ferreyra told the club's official website.
"I like the Premier League and when I knew that Newcastle were interested in me, it was a very easy decision to make.
"I spoke to my friend Fabricio Coloccini, and when he told me about the Club, I didn't need to think twice."
Ferreyra joins the likes of Emmanuele Riviere and Ayoze Perez as a new recruit who could lead the line for the Mapgies.
Ferreyra, however, will be looking to hit the ground running on Tyneside.
How will Ferreyra cope at St James' Park?