Many African countries upon independence "reverted to their ancient, native names", Mswati said earlier this morning.
King Mswati explained that the name had caused some confusion, saying: "Whenever we go overseas, people refer to us as Switzerland".
The name of eSwatini has been used before in the past at openings of Parliament and other events.
A number of African countries changed their names when they became independent.
eSwatini (née Swaziland) is Africa's last monarchy. "So from now on, the country will be officially be known as the Kingdom of eSwatini", the king, who is sometimes referred to simply as Ngenyama (or "the lion"), said in a speech at a stadium in Manzini, about 25 miles from the capital, Mbabane, Agence France-Presse reports.
At first glance eSwatini reads like the name of a Silicon Valley start-up company.
It was announced yesterday at the 50th anniversary of independence from Britain.
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King Mswati III was born on 19 April 1968 and came to the throne at age 18 in 1986 after his father's death four years prior; as he was only 14 at the time, two of his father's wives ruled as regent until he came of age.
There's also the cost of changing the country's name on official institutions such as the army and central bank.
The name Swaziland is said to anger some citizens because it is a mix of Swazi and English.
Switzerland may be in the heart of Europe 8,000 miles away, but king Mswati III has finally had enough of people confusing it with his own country, Swaziland.
"I would like to announce that Swaziland will now revert to its original name", he said, wearing a red military uniform.
But several former British colonies in Africa - like Uganda, Kenya and Gambia - did not change their names upon gaining independence.