Kanye West embarked on an art pilgrimage last month to the ethereal, glowing light installations of artist James Turrell. On Monday, the rap star said he’s donating $10 million to the Turrell Art Foundation to help fund Roden Crater Project—an extinct volcano in northern Arizona where Mr. Turrell has been embedding works for more than four decades.

Mr. West, who champions contemporary artists like Takashi Murakami and Vanessa Beecroft, visited Roden Crater with Mr. Turrell on Dec. 11. Two days later, he tweeted that the experience...