The 22-year-old midfielder, who has signed a two-year contract, is Owls manager Dave Jones' sixth summer recruit following the arrivals of Chris Kirkland, Kieran Lee, Joe Mattock, Anthony Gardner and Chris Maguire.
"I'm incredibly excited about this move," Amado told the club's official website. "I know Sheffield Wednesday from Portugal and it's a big, big club.
"I played with Jose Semedo at Sporting Lisbon and he's a great guy and will help me settle into Sheffield. I'm really looking forward to this."
Amado began his career as a youth player with Centro de Lagos before moving on to Esperanca Lagos, Sporting Lisbon and Uniao Leiria. He has also had loan spells with Real Massama and Estoril.
Meanwhile, winger Jermaine Johnson has signed a one-year contract extension with the club.
Jamaica international Johnson, 32, is keen to make a big impact in the Championship following Wednesday's promotion success last season.
"I'm delighted to be staying with Sheffield Wednesday and I want to help the club do well in the Championship," he said. "There is no limit to where we could go and I want to part of it.
"The last game of last season was the highlight of my whole career. I was choked on the day because to see so many people so happy meant a lot to me.
"Now I want to be successful in the Championship and I know we can achieve good things here."
Johnson has been a hugely popular performer during his five years with the Owls. He has made 179 appearances for the club, scoring 22 goals.