The 26-year-old was due to move to Huish Park last week but the switch was put on hold after Hennessey suffered a slight hamstring injury while warming-up on international duty for Wales prior to their clash against the Republic of Ireland.
Hennessey, now fully fit, has not made a first-team appearance for Wolves since sustaining the first of two cruciate ligament injuries in April of last year.
The move to Yeovil, which will be reviewed in a month's time, gives the Welshman the opportunity to get some minutes under his belt, while the Glovers have further cover for injured number one Marek Stech, who is sidelined for three months with a broken finger.
Yeovil had already brought in two goalkeepers just hours before last Saturday's 2-0 defeat at Burnley.
Sam Johnstone, who arrived on a three-month loan from Manchester United, started at Turf Moor while Chris Dunn, a permanent signing having been released by Coventry, warmed the bench.
The trio will now battle it out to determine who starts this weekend's home clash against Derby.