The 20-year-old, who had previously not scored in the league, joined Birmingham on loan from Manchester United on Thursday to help boost their sagging attack.
And he responded in magnificent style as he fired Lee Clark's men into a 4-0 lead before Kamil Zayatte grabbed a consolation for the Owls.
Lingard was first on the mark after 20 minutes and added two more in the 27th and 33rd minutes to make it 3-0 at the break. He notched his fourth six minutes into the second half against shell-shocked opposition.
Former City defender Roger Johnson made his debut for Wednesday following a move from Wolves while David Murphy returned for the Blues after an absence of 10 months.
There was little indication of what lay in store in the early stages with both sides showing why they are struggling down the wrong end of the table.
There was plenty of honest endeavour as the teams cancelled each other out before Lingard stamped his mark on the game with a hat-trick in 13 minutes.
It was Murphy who began the move which led to Birmingham taking a 20th minute lead.
The full-back was in the centre circle when he put Chris Burke in possession to fire in a shot which Chris Kirkland did well to palm away.
Unfortunately for the keeper it fell into the path of Lingard who gleefully took full advantage of the opportunity to score from close range.
Boosted by his goal, Lingard had another attempt only for Kirkland to make an excellent save.
But the England Under-21 international now had his tail up and added a second goal in the 29th minute when he collected a pass from Wade Elliott and slid the ball under Kirkland as the goalkeeper advanced from his line.
With Wednesday wondering what had hit them, City skipper Paul Robinson set up Lingard for his third goal in the 33rd minute.
The youngster enthusiastically ripped through Wednesday's defence and scored with a rasping shot from the left to give the home fans a rare boost in what has been a troubled season.
Lingard was not finished with Wednesday. He picked up a pass pulled back by Burke to hammer yet another shot past the helpless Kirkland in the 51st minute
Wednesday pulled back a goal when Zayatte converted a Stephen McPhail free-kick in the 67th minute to be followed by Lingard's departure from the pitch four minutes later.