Cardiff loaned the midfielder out to Brighton earlier in the season and have allowed Conway to complete a permanent switch to Rovers for an undisclosed fee.
The Scotland international joined Cardiff from Dundee United in June 2011, scoring seven goals in 67 appearances, but did not play a single game in the Premier League after the club's promotion in the summer.
A Blackburn statement read: "Rovers are delighted to announce the signing of Craig Conway from Cardiff City.
"The 28-year-old joins for an undisclosed fee, putting pen-to-paper on a two-and-a-half year deal to the summer of 2016."
Conway scored one goal during his spell at Brighton and featured in the 3-0 win over Blackburn earlier in the season.