The stadium will be configured for 54,000 spectators in what will be Chelsea's first match in New York since 1954.
"Chelsea Football Club is delighted to be heading to New York after such a long time away, and it will be a real pleasure to visit Yankee Stadium for what is sure to be a competitive game," Chelsea chief executive Ron Gourlay said in a statement.
The visit to Yankee Stadium will be the second in a four-city U.S. tour, beginning July 18 against the Seattle Sounders at CenturyLink Field.
Both teams are among Europe's elite; Chelsea is playing Bayern Munich on May 19 in the UEFA Champions League final, and PSG is three points behind Montpellier HSC for the top spot in France's Ligue 1.
Former Chelsea and current PSG manager Carlo Ancelotti will be playing his old team for the first time since being fired last May. Ancelotti led Chelsea to a Premier League title in 2010 but was let go after a disappointing 2010-11 season.
"Paris Saint-Germain represents a true test for us in our preparations for the new season," Gourlay said. "We know Carlo well and respect the superb job he did for us, and continues to do in France. It should be a fantastic game."