The 21-year-old forward has penned a three-year deal at Bramall Lane and joins up with David Weir, who he worked under at Everton.
Baxter, who only signed a two-and-a-half-year deal with the Latics in January, has featured in all five of Oldham's games this season and Weir is thrilled with his capture.
He said on the club's official website: "Jose is a player who will get the fans off their seats and I am delighted he has chosen to come to Sheffield United.
"I have worked with Jose before and know what he can do, so I want to thank the club for making this move happen."
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- Bramall Lane