The highly-rated 23-year-old, who has recently spent time on trial at Crystal Palace, has put pen to paper on a three-year contract with the Sky Bet Championship club.
He told the Owls' official website: "I have had interest from Sheffield Wednesday for some time but as a professional footballer you talk to other clubs, this is natural.
"But this club always felt right for me, it feels comfortable and I am very happy to be here.
"I am a typical box player and if I get the service I can score the goals.
"Sheffield Wednesday is a strong name throughout Europe and I am looking forward to starting training and playing with my new club."
Nuhiu is of Albanian origin but has represented Austria at Under-21 level.
He started his career with SV Ried before joining fellow Austrian side Wels, where he rose to prominence during the 2007/08 campaign with 11 goals in 30 games.
Nuhiu signed for Rapid Vienna in 2010 and played Europa League football for the capital club. He spent last season on loan with Turkish outfit Eskisehirspor.