The 25-year-old has penned a three-year contract with the Bundesliga side, joining for an undisclosed fee after announcing his "pride and joy" at moving to Germany via his Twitter account.
The former France Under-21 forward recommended himself for a move with 15 goals in 36 appearances last season, helping the Corsican club finish a respectable 12th in Ligue 1.
He previously made five appearances for Blackburn while on loan from Bordeaux, where after scoring 10 goals in his debut season, he was unable to hold down a regular starting berth.
"Given the in-depth talks held with (coach) Markus Gisdol and (sporting director) Alexander Rosen, I am sure that Hoffenheim are the right club for me," said Modeste.
"I am happy to be here and will do all I can to be successful with the team."
Rosen described the player as "quick, dangerous in the air and in front of goal" while Gisdol is delighted a deal has been struck.
"We had been monitoring Anthony for a long time now and so we are pleased to have now signed him," he said.