The 25-year-old spent the first half of the season on loan at Coventry, where he scored 17 goals in 26 appearances.
McGoldrick started his career at Notts County and had a five-year spell at Southampton before joining Forest in a £1 million deal in June 2009.
He made over 70 first-team appearances for Forest, scoring nine goals.
Boss Alex McLeish also confirmed Aston Villa full-back Alan Hutton and Tottenham midfielder Jermaine Jenas have returned to their parent clubs, but insisted he wants to bring in several new faces during the transfer window.
"I'll be looking to strengthen in several positions," he said. "At the moment I don't want to be specific, but we certainly want to bring in players that can enhance the quality.
"There's no doubt that we want players that can control a football and take the ball and pass it."