He moves to Hillsborough, taking assistant Russ Wilcox with him, after almost a decade at the Iron.
"I'm very excited by the prospect of coming to Sheffield Wednesday, it's a huge club with huge tradition," he said.
"The club couldn't have asked for a more hungry manager than myself. I'm very much up for this job, believe that I'm ready for it and that I have the necessary qualities to drive it forward.
"The most important thing is that we all pull together. We have to be in the same boat, grab an oar and start pulling as hard as we can to get the club where it should be - into the Premiership as soon as we can."