The 26-year-old has been on trial at Hillsborough after leaving Portuguese club CD Nacional and has penned a two-year deal.
"This is a good signing for us. Nejc came over for a trial and we liked what we saw," Owls boss Dave Jones said.
"He is a versatile lad, he has experience and is an international player. I'm looking forward to working with him."
Pecnik added: "Sheffield Wednesday is a club of great tradition and I am delighted to sign. The deal was done really quickly after a trial at the club and it was an easy agreement to make the deal.
"My goal is to show myself in a good way for Sheffield Wednesday and build on the experience I already have."