The 20-year-old, who is the Bafana Bafana squad to play Burkina Faso in a World Cup qualifier on Saturday, departed champions Bidvest Wits in the last transfer window.
“Everything is good. It’s a good experience for me to play in Egypt. I am really enjoying myself that side, so I don’t think it’s a problem,” Mahlambi said from the Bafana camp this week.
“As a person you always have to look at some new challenges. I thought if I can start a new life somewhere it would be great for me.
“Al Ahly is a big team, so it was easy for me to go there and I know I am going to become a better player. Winning titles, that’s what I want. It’s everyone’s dream [to play overseas].”
Al Ahly have won the CAF Champions League a record eight times, the last in 2013.