The Qatari team has signed the former Barcelona junior for a fee of €2 million.
Attacking midfielder Collado will now play for Al-Shamal after spending time in the Saudi Pro League on loan.
Barcelona will receive a portion of the transfer fee.
Collado previously spent two years in Saudi Arabia on loan from Betis.
During his time with Al-Okhdood, he played 34 official matches, scoring four goals and providing four assists.
He then played for Al-Kholood in the previous season, scoring five goals and providing three assists in 30 matches.
