Waghorn, 24, becomes Latics boss Uwe Rosler's fourth new arrival of the January transfer window.
The forward joined Leicester from Sunderland in 2010 after a loan spell with the Foxes, and has since spent time on loan at Hull City and Millwall, for whom he scored three times earlier this season.
"When I met Martyn, it was clear he shares the ambitions we have as a club and is relishing the challenges that lie ahead," said Rosler.
"He is a versatile attacking player who can operate in all three positions in the front line, and he also gives us great quality from set-piece situations.
"With a busy fixture schedule ahead of us, it was important to bolster our attacking options. So I'm delighted to bring Martyn to the club and can't wait to start working with him."