The monarch announced the official change in a stadium during celebrations for the 50th anniversary of Swazi independence.
The celebrations also marked the king's 50th birthday. The new name, eSwatini, means "land of the Swazis".
The change was unexpected, but King Mswati has been referring to Swaziland for years as eSwatini.
It was the name the king used when he addressed the UN general assembly in 2017 and at the state opening of the country's parliament in 2014.
He explained that the name had caused some confusion, saying: "Whenever we go abroad, people refer to us as Switzerland."
Swaziland's leadership has been criticised by human rights activists for banning political parties and discriminating against women.
King Mswati III currently has 15 wives; his predecessor had 125 Has the world's highest prevalence rate for HIV/Aids Low life expectancy with 54 years for men, 60 for women More about the country Presentational grey line The son of Sobhuza II, who reigned for 82 years, King Mswati currently has 15 wives.
According to official biographers, his father took 125 wives during his reign.
The king, known as Ngwenyama or "the lion", is known for his many wives and for his adherence to traditional dress