Abu Bakr al-Baghdadi said "the crusaders' missiles will not stop our advance on Rome" in the tape which was released to crush rumours of his death.
In the 17 minute recording he orders his extremists to fight to the last man and try to take over Saudi Arabia.
It's unclear when it was recorded although al-Baghdadi appears to reference last weekend's announcement that the US was to send more troops to Iraq.
I.S. militants have taken over parts of Iraq and Syria as they aim to set up an Islamic caliphate.
In October I.S. issued a direct threat to the Vatican inside a propaganda magazine.
The front cover showed the Vatican with the black Islamic State flying overhead.
"We will conquer your Rome, break your crosses and enslave your women, by the permission of Allah, the Exalted. This is His promise to us; He is glorified and He does not fail in His promise," the magazine said.
The Holy See has already increased security around Pope Francis and the Vatican amid the rising threat from Islamic State and extremist Muslims.