The 34-year-old Kompany, who had shared first-team duties with Frank Vercauteren, will be head coach for the next four seasons.
Kompany joined Anderlecht as player manager in May last year after spending 11 years with Premier League side Manchester City.
He stepped down from his management role three months later to concentrate on playing.
Anderlecht finished eighth in the Belgian Pro League last season with Kompany making 15 appearances.
“I want to fully commit to my role as a coach and need 100% of my time and focus for it. That’s why I’m quitting as a football player,” Kompany said in a club statement.
Kompany joined Manchester City from Hamburg in 2008 and soon became club captain, helping them win four Premier League titles, two FA Cups and four League Cups.