The 52-year-old, who ended his eight-year reign as Bolton boss in April, have signed a three-year contract with the Magpies.
Allardyce told the Newcastle Evening Chronicle: “This is the greatest challenge I have ever had.
“But it is one I am excited about and one I am looking forward to.”
Allardyce added: “It is no secret that what has happened in the past is not good enough for a club as big as Newcastle United, and it is now my job to change all that.
“After leaving Bolton Wanderers last week, I was expecting a longer rest, but once chairman Freddy Shepherd opened that door, I was in.
“Whatever may or not be said about Freddy Shepherd, when I met him in London on Friday, I could feel his passion for Newcastle United.
“He is a passionate supporter and it is well-known throughout football that he has always supported his managers.
“Now it is up to everyone from Freddy down, to me, the players, the fans and even the tea lady to give these fans the success they deserve.”