The announcement of the alliance known as "the Mourabitounes" formalises an emerging union between Belmoktar's followers and the group known as MUJAO, or Movement for Oneness and Jihad in West Africa.
Their statement was carried by the Nouakchott Information Agency, a Mauritanian site previously used by Belmoktar to convey messages.
The two groups said they had decided "to confront the Zionist campaign against Islam and Muslims" by uniting jihadists from the Nile to the Atlantic, spanning all of North Africa.
Egypt's Mohammed Morsi, an Islamist who became the country's first freely elected president, was unseated in a July 3 coup.
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Belmoktar, an Algerian believed to be in his 40s, is best known for masterminding the January attack on a natural gas plant in southeastern Algeria in retaliation for the French-led military intervention in Mali.
In the attack and in the subsequent rescue attempt, some three dozen foreigners were killed inside the complex.
Belmoktar claimed responsibility within hours, immediately catapulting him into the ranks of international terrorists.
Belmoktar broke away from al-Qaeda's North Africa branch to form his own group after falling out with al-Qaeda leaders.
And MUJAO was created in September 2011 after members broke off from al-Qaeda in the Islamic Maghreb in order to expand their activities into West Africa.