The move is Waghorn's second spell with one of the Foxes Sky Bet Championship rivals this season having spent three months at Millwall, where he scored three goals in 14 appearances.
There has been a lot of interest in the 24-year-old from a number of Championship clubs including Blackburn, Leeds and Doncaster, as well as League One side Wolves.
But Waghorn, who is out of contract in the summer, will see out the rest of the campaign with the Latics.
Leicester had put a price tag on the striker, believed to be around B£450,000, as they looked to recoup some of the estimated B£3million they paid Sunderland to sign back in 2010.
But the asking price had deterred any clubs from making a firm offer.