The 33-year-old could make his debut for the Owls on Saturday against Birmingham after signing a deal that runs until mid-January 2014.
The former Republic of Ireland midfielder will be reunited with Wednesday manager Dave Jones, the man who took him to Cardiff in 2006 where McPhail has spent the last six years.
McPhail made 190 appearances for the Welsh side, scoring three goals, before he was released at the end of last season.
He started his career at Leeds before moving to Barnsley and then Cardiff. He has also had loan spells at Millwall and Nottingham Forest.