The versatile defender underwent a medical before signing a three-year contract with the npower Championship club.
Connolly started his career at Arsenal before loan spells with Bournemouth and Colchester.
QPR swooped for his services in 2008 and he went on to play a big part in their Championship title-winning campaign of 2010/11.
However, the 24-year-old, who can play in any position across the back, struggled to make an impact at Loftus Road last season and spent the latter part of the campaign on loan at Reading, again tasting promotion to the top flight.
Connolly will hope to make his debut in Cardiff's Severnside derby at Bristol City on Saturday.