Marshall enjoyed a successful loan spell with the Owls last season as they secured promotion to the second tier, but the winger showed no room for sentiment as he set up Danny Drinkwater for the opening goal before doubling Leicester's lead himself after the interval.
The former Stoke man was then giving a standing ovation by both sets of supporters when he was substituted by Foxes boss Nigel Pearson, who is also held in high regard at Hillsborough after spending seven years with the Owls in his playing days.
Wednesday gave the ball away far too easily in the first half and Marshall tried his luck from 20 yards but failed to test Chris Kirkland.
The home side looked short of confidence and it needed a desperate last-ditch tackle from Martin Taylor to prevent Martyn Waghorn from racing clear after a defensive mix-up.
An unmarked Andy King headed wide when Waghorn picked him out with a pin-point free-kick after 38 minutes, but two minutes later the Foxes were in front.
Wednesday felt they should have had a free-kick when Jay Bothroyd went down on the halfway line but referee Paul Tierney saw nothing amiss and Drinkwater played a neat one-two with Marshall before firing just inside the far post with a clinical finish.
Leicester carried on where they left off after break and Kirkland was called into action to palm Marshall's shot around the near post.
Foxes skipper Wes Morgan should have doubled his side's lead 12 minutes into the second half when he rose highest to meet Waghorn's inviting corner but the big centre-back headed over the crossbar.
It was all one-way traffic and Kirkland produced a fine save to tip the impressive Waghorn's venomous left-foot strike over the bar.
Leicester were toying with the Owls and it was only a matter of time before they added a second goal, which duly came 15 minutes from time when Marshall picked his spot with a measured left-foot finish from the right side of the penalty area, which found the far corner of the net.
Waghorn was unfortunate not to reward his fine performance with a goal when his left-foot shot struck the bar and the Owls faithful voiced their disapproval at the final whistle after another miserable afternoon.