The Joint Military Staff Committee of Algeria, Mali, Mauritania and Niger will be based in Tamanrasset.
They want to increase co-operation and move towards joint operations against terrorism, kidnappings and trafficking.
Militants have exploited a lack of co-ordination in the past, evading capture by crossing from one state to another.
The US and other Western countries have warned that unless the governments of the region join forces, al-Qaeda could turn the Sahara desert into a safe haven and use it as a base for launching large-scale attacks.
Last year an affiliate of the militant network, al-Qaeda in the Islamic Maghreb, killed a British man, Edwin Dyer, who was kidnapped on the border between Niger and Mali, and shot dead a US aid worker in Mauritania.
Members of the group are also believed to be holding hostage two Spaniards who disappeared in November in Mauritania. An Italian married couple seized in December were last week freed in Mali.
The countries did not say what powers the command centre would have, but a military source in Niger told the Reuters news agency they planned to "move towards joint military operations against terrorism, kidnappings and the trafficking of drugs and weapons".
